A decoupling principle for Markov-modulated chains

DOI10.1016/J.SPL.2021.109301zbMath1481.60139OpenAlexW3211372408MaRDI QIDQ2070600

Reiichiro Kawai, Qinjing Qiu

Publication date: 24 January 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109301

zbMATH Keywords

regime switchingweak approximationrandom environmentsMarkov modulationMarkov-modulated processes

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (1)

Iterative weak approximation and hard bounds for switching diffusion

Uses Software

• msm

Cites Work

• Markov-modulated queueing systems
• Continuous-time Markov chain and regime switching approximations with applications to options pricing
• The Markov-modulated Poisson process (MMPP) cookbook
• On the existence of finite-dimensional filters for Markov-modulated traffic
• Continuous-time hidden Markov models for network performance evaluation
• Markov Processes with Homogeneous Second Component, II
• A queue subject to extraneous phase changes
• Queuing Problems with Heterogeneous Arrivals and Service

This page was built for publication: A decoupling principle for Markov-modulated chains