Continuous-time Markov chains and applications: a singular perturbation approach

Markov chain approximation techniques for a class of nonlinear control problems

Neural, Parallel & Scientific Computations

ERROR BOUNDS FOR OCCUPATION MEASURE OF SINGULARLY PERTURBED MARKOV CHAINS INCLUDING TRANSIENT STATES

Probability in the Engineering and Informational Sciences

On Stochastic Bounds for Monotonic Processor Sharing Networks

Queueing Systems: Theory and Applications

Numerical method for stationary distribution of stochastic differential equations with Markovian switching

Journal of Computational and Applied Mathematics

Stabilization and destabilization of hybrid systems of stochastic differential equations

Automatica (Journal of IFAC)

Brief paper: Convergence of Markov chain approximation on generalized HJB equation and its applications

Automatica (Journal of IFAC)

Double barrier option under regime-switching exponential mean-reverting process

International Journal of Computer Mathematics - SPECIAL ISSUE ON FINANCIAL DERIVATIVES

Randomly switching systems: models, analysis, and applications

CCDC'09 Proceedings of the 21st annual international conference on Chinese Control and Decision Conference

Technical communique: Finite-time stability theorem of stochastic nonlinear systems

Automatica (Journal of IFAC)

Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation

Journal of Computational and Applied Mathematics

A Fluid Flow Model for Empty Container Repositioning Policy with a Single Port and Stochastic Demand

SIAM Journal on Control and Optimization

On the Existence of a Limit Value in Some Nonexpansive Optimal Control Problems

SIAM Journal on Control and Optimization

Reduction of stochastic conductance-based neuron models with time-scales separation

Journal of Computational Neuroscience

A two-factor stochastic production model with two time scales

Automatica (Journal of IFAC)

Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions

Automatica (Journal of IFAC)

Near-optimal controls of random-switching LQ problems with indefinite control weight costs

Automatica (Journal of IFAC)

Linear Programming and Constrained Average Optimality for General Continuous-Time Markov Decision Processes in History-Dependent Policies

SIAM Journal on Control and Optimization

Stochastic stabilization of hybrid differential equations

Automatica (Journal of IFAC)