Singularly Perturbed Markov Chains: Convergence and Aggregation

Asymptotic properties of singularly perturbed Markov chains having measurable and/or continuous generators are developed in this work. The Markov chain under consideration has a finite-state space and is allowed to be nonstationary. Its generator consists of a rapidly varying part and a slowly changing part. The primary concerns are on the properties of the probability vectors and an aggregated process that depend on the characteristics of the fast varying part of the generators. The fast changing part of the generators can either consist of l recurrent classes, or include also transient states in addition to the recurrent classes. The case of inclusion of transient states is examined in detail. Convergence of the probability vectors under the weak topology of L² is obtained first. Then under slightly stronger conditions, it is shown that the convergence also takes place pointwise. Moreover, convergence under the norm topology of L² is derived. Furthermore, a process with aggregated states is obtained which converges to a Markov chain in distribution.     

半线性抛物型方程奇异摄动问题的数值解

本文讨论具有抛物边界层的半线性抛物型方程奇异摄动问题的数值解法,在非均匀网格上构造了两层非线性差分格式,证明了差分格式是一致收敛的,给出了一些数值例子.     

An Asymptotic-Numerical Method for a Class of Weakly Coupled System of Singularly Perturbed Convection-Diffusion Equations

A weakly coupled convection dominated system of m-equations is analyzed. A higher order accurate asymptotic-numerical method is presented. The solutions of convection dominated problem are known to exhibit multi-scale character. There exist narrow region across the boundary of the domain where the solution exhibit steep gradient. This region is termed as boundary layer region and the solution of problem is said to have a boundary layer. Outside of this region, the solution of system behaves smoothly. To capture this multi-scale nature given system is factorized into two explicit systems. The degenerate system of initial value problems (IVPs), obtained by setting ??=?0, corresponds to the smooth solution, which lies outside of boundary layers. For solution inside boundary layers, a system of boundary value problems (BVPs) is obtained using stretching transformation. Regardless of this simple factorization, solutions of these systems preserve the key features of the given coupled system. Runge–Kutta method is used to solve the degenerate system of IVPs, whereas the system of BVPs is solved analytically. Stability and consistency of the proposed method is established. A uniform convergence of higher order is obtained. Possible extension to differential difference equations are also brought to attention. A comparative study of the present method with some state of art existing numerical schemes is carried out by means of several test problems. The results so obtained demonstrate the effectiveness and potential of present approach.     

A Finite Element Method for Singularly Perturbed Reaction—diffusion Problems

A finite element method is proposed for the sing ularly perturbed reaction-diffusion problem.An optimal error bound is derived,independent of the perturbation parameter.     

The Solution of a Singularly Perturbed Convection–Diffusion Problem by an Iterative Domain Decomposition Method

This paper deals with an iterative algorithm for domain decomposition applied to the solution of a singularly perturbed convection–diffusion problem. Convergence properties of the algorithm are established. Numerical results are presented.     

Occupation Measures of Singularly Perturbed Markov Chains with Absorbing States

Abstract This paper develops asymptotic properties of singularly perturbed Markov chains with inclusion of absorbing states. It focuses on both unscaled and scaled occupation measures. Under mild conditions, a mean-square estimate is obtained. By averaging the fast components, we obtain an aggregated process. Although the aggregated process itself may be non-Markovian, its weak limit is a Markov chain with much smaller state space. Moreover, a suitably scaled sequence consisting of a component of scaled occupation measures and a component of the aggregated process is shown to converge to a pair of processes with a switching diffusion component. * The research of this author is supported in part by the National Science Foundation under Grant DMS-9877090 ** The research of this author is supported in part by the Office of Naval Research Grant N00014-96-1-0263 *** The research of this author is supported in part by Wayne State University     

Asymptotic Properties of Parabolic Systems for Null-Recurrent Switching Diffusions

This work is concerned with the asymptotic behavior of systems of parabolic equations arising fromnull-recurrent switching diffusions,which are diffusion processes modulated by continuous-time Markov chains.A sufficient condition for null recurrence is presented.Moreover,convergence rate of the solutions of systems ofhomogeneous parabolic equations under suitable conditions is established.Then a case study on verifying one ofthe conditions proposed is provided with the use of a two-state Markov chain.To verify the condition,boundaryvalue problems (BVPs) for parabolic systems are treated,which are not the usual two-point BVP type.Anextra condition in the interior is needed resulting in jump discontinuity of the derivative of the correspondingsolution.     

Uniform Convergence Analysis for Singularly Perturbed Elliptic Problems with Parabolic Layers

In this paper,using Lin's integral identity technique,we prove the optimal uniform convergence θ(N_x~(-2)In~2N_x N_y~(-2)In~2N_y) in the L~2-norm for singularly per- turbed problems with parabolic layers.The error estimate is achieved by bilinear fi- nite elements on a Shishkin type mesh.Here N_x and N_y are the number of elements in the x- and y-directions,respectively.Numerical results are provided supporting our theoretical analysis.     

On the Order Reduction Approach for Singularly Perturbed Optimal Control Systems

The order reduction method for singularly perturbed optimal control systems consists of employing the system obtained while setting the small parameter to be zero. In many situations the differential-algebraic system thus obtained indeed provides an appropriate approximation to the singularly perturbed problem with a small parameter. In this paper we establish that if relaxed controls are allowed then the answer to the question whether or not this method is valid depends essentially on one simple parameter: the dimension of the fast variable, denoted n. More specifically, if n=1 then the order reduction method is indeed applicable, while if n>1 then the set of singularly perturbed optimal control systems for which it is not applicable is dense (in the L norm).     

关于三阶奇摄动边值问题的唯一性(英文)

本文利用上下解的构造研究了三阶奇摄动边值问题 ,建立了解的唯一性定理 .     

Singularly Perturbed Markov Chains with Two Small Parameters: A Matched Asymptotic Expansion

This work is concerned with asymptotic properties of solutions to forward equations for singularly perturbed Markov chains with two small parameters. It is motivated by the model of a cost-minimizing firm involving production planning and capacity expansion and a two-level hierarchical decomposition. Our effort focuses on obtaining asymptotic expansions of the solutions to the forward equation. Different from previous work on singularly perturbed Markov chains, the inner expansion terms are constructed by solving certain partial differential equations. The methods of undetermined coefficients are used. The error bound is obtained.     

一类非线性奇摄动方程的激波问题

利用奇摄动理论和匹配原理，讨论了一类非线性奇摄动方程的激波问题．首先，构造了原问题的外部解和内层解．其次，研究了当激波在区间的边界附近和内部的激波解．最后，得出了与边界条件相对应的激波位置及解的表达式．     

指数型二分性与拟自治奇异摄动系统

通过对Ｋ．Ｊ．Ｐａｌｍｅｒ￣［４］中方法的改进，本文讨论了摄动系统有界解的存在性，得到了不同于［４］中的结果，并把改进了的方法运用到拟自治奇异摄动系统，得到了拟自治奇异摄动系统存在有界解的一个简洁的充分条件。本文的方法还提供了一个处理摄动项含小参数的方法。     

求解奇异摄动转向点问题的一个二阶一致收敛格式

本文对奇异摄动转向点问题构造了一个关于ε一致收敛的二阶正型格式,并给出了数值例子.     

Central Limit Theorem for a Class of Nonhomogeneous Random Walks

A spatially nonhomogeneous random walk _t on the grid =^m X ⁿ is considered. Let _t ⁰ be a random walk homogeneous in time and space, and let _t be obtained from it by changing transition probabilities on the set A= X ⁿ, || < , so that the walk remains homogeneous only with respect to the subgroup ⁿ of the group . It is shown that if >m 2 or the drift is distinct from zero, then the central limit theorem holds for _t.     

一类超一致椭圆扩散过程的极限定理

本文研究了分支特征为ψ（x,z）=γz^1+β（0<β≤1）形式的超一致椭圆扩散过程,当初始值X₀（dx）为底过程的某类不变测度时,给出了当空间维数d满足βd≤2时,超过程X_t依分布收敛于0测度,当βd>2时,X_t则依分布收敛于一个非退化的随机测度.     

一类奇摄动反应扩散系统*

本文研究了一类奇摄动反应扩散系统的初始边值问题.在适当的条件下,利用比较定理讨论了问题解的渐近性态.     

带Markov状态转换的跳扩散方程的数值解

研究了一类带Markov状态转换的跳扩散方程的数值解的问题,为讨论这类方程精确解的数值计算问题,我们给出了一种基于Euler格式的方程解的跳适应算法,并在一定的条件下,证明了基于这种新的跳适应算法所得到的方程的数值解是收敛于它的精确解,同时还给出了数值解收敛到其精确解的收敛阶数.最后,本文通过两个例子说明了这种跳适应算法的计算有效性.     

求解奇异摄动问题混合有限元的最优一致收敛的统一方法

给出了在些Shiskin型网格[21,23,19,18]上,利用一个任意次的混合有限元方法在L2一模下得到奇异摄动问题解的最优一致收敛阶的一个统一方法,通过研究一个四阶问题,定常和不定常问题,我们显示了这个方法的一般性,结果显示非传统Shiskin型网格上的误差估计比传统Shiskin型网格上的误差估计更容易得到,但两种网格给出的误差估计是相容的,它们证明了Roos的猜想[21]是合理的。     

一类奇摄动微分——差分反应扩散方程

奇摄动问题有很强的自然科学的背景,它在生态环境、大气物理、海洋科学、催化反应、激波和量子物理中都有很广泛的应用.本文研究了一类带有小延迟的微分--差分反应扩散方程初值问题.在适当的条件下,利用奇摄动伸长变量法,构造了问题的形式渐近解.再用微分不等式理论证明了解的一致有效性.