Markov chains with quasitoeplitz transition matrix: first zero hitting

This paper continues the investigation of Markov Chains with a quasitoeplitz transition matrix. Generating functions of first zero hitting probabilities and mean times are found by the solution of special Riemann boundary value problems on the unit circle. Duality is discussed.

Euler-type approximation for systems of stochastic differential equations

By developing a stochastic version of the Taylor formula, the mean-square convergence of the Euler-type approximation for the solution of systems of Itô-type stochastic differential equations is investigated. Sufficient conditions are given to obtain time-varying and time-invariant error estimates.

Renewal characterization of Markov modulated Poisson processes

A Markov Modulated Poisson Process (MMPP) M(t) defined on a Markov chain J(t) is a pure jump process where jumps of M(t) occur according to a Poisson process with intensity λi whenever the Markov chain J(t) is in state i. M(t) is called strongly renewal (SR) if M(t) is a renewal process for an arbitrary initial probability vector of J(t) with full support on P={i:λi>0}. M(t) is called weakly renewal (WR) if there exists an initial probability vector of J(t) such that the resulting MMPP is a renewal process. The purpose of this paper is to develop general characterization theorems for the class SR and some sufficiency theorems for the class WR in terms of the first passage times of the bivariate Markov chain [J(t),M(t)]. Relevance to the lumpability of J(t) is also studied.

Nonlinear second order system of Neumann boundary value problems at resonance

Let f:[0,π]×ℝN→ℝN, (N≥1) satisfy Caratheodory conditions, e(x)∈L1([0,π];ℝN). This paper studies the system of nonlinear Neumann boundary value problems x″(t)+f(t,x(t))=e(t), 0<t<π, x′(0)=x′(π)=0. This problem is at resonance since the associated linear boundary value problem x″(t)=λx(t), 0<t<π, x′(0)=x′(π)=0, has λ=0 as an eigenvalue. Asymptotic conditions on the nonlinearity f(t,x(t)) are offered to give existence of solutions for the nonlinear systems. The methods apply to the corresponding system of Lienard-type periodic boundary value problems.

An existence theorem for nonlinear delay differential equations

In this paper we prove a theorem on the existence of solutions of nonlinear delay differential equations, with implicit derivatives. The result is established using the measure of noncompactness of a set and Darbo's fixed point theorem.

Sharp conditions for the oscillation of delay difference equations

Suppose that {pn} is a nonnegative sequence of real numbers and let k be a positive integer. We prove that limn→∞inf [1k∑i=n−kn−1pi]>kk(k+1)k+1 is a sufficient condition for the oscillation of all solutions of the delay difference equation An+1−An+pnAn−k=0, n=0,1,2,…. This result is sharp in that the lower bound kk/(k+1)k+1 in the condition cannot be improved. Some results on difference inequalities and the existence of positive solutions are also presented.

A sharp upper bound for discrete inequalities of Gronwall-Bellman type

A sharp upper bound is given for solutions of a discrete inequality of the Gronwall-Bellman type. The bound, which is the exact solution of the corresponding discrete equation, is obtained by reducing the equation to a system of difference equations.

Markov chains with quasitoeplitz transition matrix

This paper investigates a class of Markov chains which are frequently encountered in various applications (e.g. queueing systems, dams and inventories) with feedback. Generating functions of transient and steady state probabilities are found by solving a special Riemann boundary value problem on the unit circle. A criterion of ergodicity is established.

Large scale singularly perturbed boundary value problems

In this paper an alternative approach to the method of asymptotic expansions for the study of a singularly perturbed linear system with multiparameters and multiple time scales is developed. The method consists of developing a linear non-singular transformation that transforms an arbitrary n—time scale system into a diagonal form. Furthermore, a dichotomy transformation is employed to decompose the faster subsystems into stable and unstable modes. Fast, slow, stable and unstable modes decomposition processes provide a modern technique to find an approximate solution of the original system in terms of the solution of an auxiliary system. This method yields a constructive and computationally attractive way to investigate the system.