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Hybrid switching diffusions : properties and applications

Author: George Yin; Chao Zhu, Ph. D.
Publisher: New York : Springer, ©2010.
Series: Stochastic modelling and applied probability, 63.
Edition/Format:   Book : EnglishView all editions and formats
Database:WorldCat
Summary:
"This book presents a comprehensive study of hybrid switching diffusion processes and their applications. The motivations for studying such processes originate from emerging and existing applications in wireless communications, signal processing, queueing networks, production planning, biological systems, ecosystems, financial engineering, and modeling, analysis, and control and optimization of large-scale systems,  Read more...
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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: George Yin; Chao Zhu, Ph. D.
ISBN: 9781441911049 1441911049
OCLC Number: 436030853
Description: xviii, 395 p. : ill. ; 24 cm.
Contents: Introduction and motivation --
Basic properties, recurrence, ergodicity --
Switching diffusion --
Recurrence --
Ergodicity --
Numerical solutions and approximation --
Numerical approximation --
Numerical approximation to invariant measures --
Stability --
Stability --
Stability of switching ODEs --
Invariance principles --
Two-time-scale modeling and applications --
Positive recurrence: weakly connected ergodic classes --
Stochastic volatility using regime-switching diffusions --
Two-time-scale switching jump diffusions.
Series Title: Stochastic modelling and applied probability, 63.
Responsibility: G. George Yin, Chao Zhu.

Abstract:

Focusing on switching diffusion processes that involve both continuous dynamics and discrete events, this comprehensive study moves from basic properties such as Feller and strong Feller to the  Read more...
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From the reviews: "The book Hybrid Switching Diffusions provides a remarkable coverage of up-to-date, cutting-edge research results on switching diffusions. ... As I read through the book, I was Read more...

 
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