In this paper we consider the weighted reward Markov decision process, with perturbation. The “weighted reward” refers to appropriately normalized convex combination of the discounted and the long-run average reward criteria. This criterion allows the controller to trade-off short-term costs...

In this paper, Weighted reward Perturbed Markov Decision Processes with finite state and countable action spaces (semi-infinite WMDP for short) are considered. The ”weighted reward” refers to appropriately normalized convex combination of the discounted and the long-run average reward...

In this paper, Weighted reward Perturbed Markov Decision Processes with finite state and countable action spaces (semi-infinite WMDP for short) are considered. The ”weighted reward” refers to appropriately normalized convex combination of the discounted and the long-run average reward...

In this paper weighted singularly perturbed hybrid stochastic systems are discussed. Under some reasonable assumptions, it is shown that there exists a uniformly δ-optimal policy when the perturbation is sufficiently small. Copyright Springer-Verlag Berlin Heidelberg 2005

In this paper weighted singularly perturbed hybrid stochastic systems are discussed. Under some reasonable assumptions, it is shown that there exists a uniformly δ-optimal policy when the perturbation is sufficiently small. Copyright Springer-Verlag Berlin Heidelberg 2005

We apply a singular perturbation analysis to some option pricing models. To illustrate the technique we first consider the European put option under the standard Black-Scholes model, with or without barriers. Then we consider the same option under the constant elasticity of variance (CEV)...

The evolution of renewable resources is characterized in many cases by different time scales where some state variables such as biomass, may evolve relatively faster than other state variables such as carrying capacity. Ignoring this time scale separation means that a slowly changing variable is...

Renewable resource modelling is usually characterized by different time scales where some state variables such as biomass may evolve relatively faster than other state variables such as carrying capacity. Ignoring this time scale separation means that a slowly changing variable is treated as...

A population model including diffusion, chemotaxis and growth is studied. Assuming that the diffusion rate and the chemotactic rate are both very small compared with the growth rate, we derive a new equation to describe the time-evolution of the aggregating region of biological individuals and...