George G. Yin

Articles in Scholarly Journals [Incomplete List]

  1. Q-Learning Algorithms with Random Truncation Bounds and Applications to Effective Parallel Computing
    Journal of Optimization Theory and Applications, 2007
  2. Asymptotic Properties of Parabolic Systems for Null-Recurrent Switching Diffusions
    Acta Mathematicae Applicatae Sinica, English Series, vol. 23, no. 2, pp. 177–194, 2007
  3. Balanced realizations of regime-switching linear systems
    Mathematics of Control, Signals, and Systems, vol. 19, no. 3, pp. 207–234, 2007
  4. Asymptotically efficient parameter estimation using quantized output observations?
    Automatica, vol. 43, no. 7, pp. 1178–1191, 2007
  5. Identification of Wiener systems with binary-valued output observations?
    Automatica, vol. 43, no. 10, pp. 1752–1765, 2007
  6. Information Characterization of Communication Channels for System Identification
    Journal of Systems Science and Complexity, vol. 20, no. 2, pp. 251–261, 2007
  7. Approximations of Euler–Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
    Journal of Computational and Applied Mathematics, vol. 205, no. 2, pp. 936–948, 2007
  8. Regularity and Recurrence of Switching Diffusions
    Journal of Systems Science and Complexity, vol. 20, no. 2, pp. 273–283, 2007
  9. Stabilization and destabilization of hybrid systems of stochastic differential equations?
    Automatica, vol. 43, no. 2, pp. 264–273, 2007
  10. On the notion of weak stability and related issues of hybrid diffusion systems
    Nonlinear Analysis: Hybrid Systems, vol. 1, no. 2, pp. 173–187, 2007
  11. Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching
    Stochastic Analysis and Applications, vol. 25, no. 6, pp. 1243–1261, 2007
  12. Liquidation of a large block of stock?
    Journal of Banking & Finance, vol. 31, no. 5, pp. 1295–1305, 2007
  13. Stability of regime-switching diffusions?
    Stochastic Processes and their Applications, vol. 117, no. 8, pp. 1037–1051, 2007
  14. Cyclic System Reconfiguration and Time-Split Signal Separation With Applications to Lung Sound Pattern Analysis
    IEEE Transactions on Signal Processing, vol. 55, no. 6, pp. 2897–2913, 2007
  15. Asymptotic Properties of Hybrid Diffusion Systems
    SIAM Journal on Control and Optimization, vol. 46, no. 4, p. 1155, 2007
  16. Two-Time-Scale Approximation for Wonham Filters
    IEEE Transactions on Information Theory, vol. 53, no. 5, pp. 1706–1715, 2007
  17. Singularly perturbed Markov chains: Limit results and applications
    The Annals of Applied Probability, vol. 17, no. 1, pp. 207–229, 2007
  18. Controlled Hidden Markov Models for Dynamically Adapting Patch Clamp Experiment to Estimate Nernst Potential of Single-Ion Channels
    IEEE Transactions on Nanobioscience, vol. 5, no. 2, pp. 115–125, 2006
  19. The Wonham Filter With Random Parameters: Rate of Convergence and Error Bounds
    IEEE Transactions on Automatic Control, vol. 51, no. 3, pp. 460–464, 2006
  20. Two-time-scale Hybrid Filters: Near Optimality
    SIAM Journal on Control and Optimization, vol. 45, no. 1, p. 298, 2006
  21. STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA-DAY DATA
    Mathematical Finance, vol. 16, no. 1, pp. 217–236, 2006
  22. Option pricing in a regime-switching model using the fast Fourier transform
    Journal of Applied Mathematics and Stochastic Analysis, vol. 2006, Article ID 18109, 22 pages, 2006
  23. Bounds of ruin probability for regime-switching models using time scale separation
    Scandinavian Actuarial Journal, vol. 2006, no. 2, pp. 111–127, 2006
  24. Joint identification of plant rational models and noise distribution functions using binary-valued observations?
    Automatica, vol. 42, no. 4, pp. 535–547, 2006
  25. Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions?
    Automatica, vol. 42, no. 7, pp. 1147–1157, 2006
  26. Stochastic Optimization Algorithms for Pricing American Put Options Under Regime-Switching Models
    Journal of Optimization Theory and Applications, vol. 131, no. 1, pp. 37–52, 2006
  27. Identification Error Bounds and Asymptotic Distributions for Systems with Structural Uncertainties
    Journal of Systems Science and Complexity, vol. 19, no. 1, pp. 22–35, 2006
  28. Global Optimization Using Diffusion Perturbations with Large Noise Intensity
    Acta Mathematicae Applicatae Sinica, English Series, vol. 22, no. 4, pp. 529–542, 2006
  29. Computational Methods for Pricing American Put Options
    Journal of Optimization Theory and Applications, vol. 127, no. 2, pp. 389–410, 2005
  30. Near-optimal controls of random-switching LQ problems with indefinite control weight costs?
    Automatica, vol. 41, no. 6, pp. 1063–1070, 2005
  31. Uniform Asymptotic Expansions for Pricing European Options
    Applied Mathematics and Optimization, vol. 52, no. 3, pp. 279–296, 2005
  32. Numerical method for stationary distribution of stochastic differential equations with Markovian switching
    Journal of Computational and Applied Mathematics, vol. 174, no. 1, pp. 1–27, 2005
  33. Limit behavior of two-time-scale diffusions revisited
    Journal of Differential Equations, vol. 212, no. 1, pp. 85–113, 2005
  34. Numerical solutions for jump-diffusions with regime switching
    Stochastics: An International Journal of Probability and Stochastic Processes, vol. 77, no. 1, pp. 61–79, 2005
  35. Two-Time-Scale Markov Chains and Applications to Quasi-Birth-Death Queues
    SIAM Journal on Applied Mathematics, vol. 65, no. 2, p. 567, 2005
  36. A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
    SIAM Journal on Multiscale Modeling and Simulation, vol. 4, no. 1, p. 172, 2005
  37. Least Mean Square Algorithms With Markov Regime-Switching Limit
    IEEE Transactions on Automatic Control, vol. 50, no. 5, pp. 577–593, 2005
  38. Continuous-Time Tracking Algorithms Involving Two-Time-Scale Markov Chains
    IEEE Transactions on Signal Processing, vol. 53, no. 12, pp. 4442–4452, 2005
  39. Numerical approximation of invariant measures for hybrid diffusion systems
    IEEE Transactions on Automatic Control, vol. 50, no. 7, pp. 934–946, 2005
  40. LMS Algorithms for Tracking Slow Markov Chains With Applications to Hidden Markov Estimation and Adaptive Multiuser Detection
    IEEE Transactions on Information Theory, vol. 51, no. 7, pp. 2475–2490, 2005
  41. Spreading Code Optimization and Adaptation in CDMA Via Discrete Stochastic Approximation
    IEEE Transactions on Information Theory, vol. 50, no. 9, pp. 1927–1949, 2004
  42. Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
    SIAM Journal on Optimization, vol. 14, no. 4, p. 1187, 2004
  43. On Averaging Principles: An Asymptotic Expansion Approach
    SIAM Journal on Mathematical Analysis, vol. 35, no. 6, p. 1534, 2004
  44. Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
    IEEE Transactions on Automatic Control, vol. 49, no. 3, pp. 349–360, 2004
  45. Two-time-scale Jump-Diffusion Models with Markovian Switching Regimes
    Stochastics and Stochastics Reports, vol. 76, no. 2, pp. 77–99, 2004
  46. Nearly-Optimal Asset Allocation in Hybrid Stock Investment Models
    Journal of Optimization Theory and Applications, vol. 121, no. 2, pp. 419–444, 2004
  47. Exponential bounds for discrete-time singularly perturbed Markov chains
    Journal of Mathematical Analysis and Applications, vol. 293, no. 2, pp. 645–662, 2004
  48. Stochastic modeling for inventory and production planning in the paper industry
    AIChE Journal, vol. 50, no. 11, pp. 2877–2890, 2004
  49. Asymptotic Expansions of Transition Densities for Hybrid Jump-diffusions
    Acta Mathematicae Applicatae Sinica, English Series, vol. 20, no. 1, pp. 1–18, 2004
  50. Correction: Countable-state-space Markov chains with two time scales and applications to queueing systems
    Advances in Applied Probability, vol. 36, no. 1, pp. 324–324, 2004
  51. Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
    Advances in Applied Probability, vol. 35, no. 2, pp. 449–476, 2003
  52. Stability of Markov modulated discrete-time dynamic systems
    Automatica, vol. 39, no. 8, pp. 1339–1351, 2003
  53. Simulation of population dynamics using continuous-time finite-state Markov chains
    Computers & Chemical Engineering, vol. 27, no. 2, pp. 235–249, 2003
  54. Journal of Optimization Theory and Applications, vol. 116, no. 1, pp. 131–166, 2003
  55. Asymptotic properties of sign algorithms for adaptive filtering
    IEEE Transactions on Automatic Control, vol. 48, no. 9, pp. 1545–1556, 2003
  56. System identification using binary sensors
    IEEE Transactions on Automatic Control, vol. 48, no. 11, pp. 1892–1907, 2003
  57. Journal of Optimization Theory and Applications, vol. 118, no. 1, pp. 157–182, 2003
  58. Stochastic models and numerical solutions for production planning with applications to the paper industry
    Computers & Chemical Engineering, vol. 27, no. 11, pp. 1693–1706, 2003
  59. Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains
    SIAM Journal on Control and Optimization, vol. 41, no. 6, p. 1820, 2003
  60. Optimal remapping in dynamic bulk synchronous computations via a stochastic control approach
    IEEE Transactions on Parallel and Distributed Systems, vol. 14, no. 1, pp. 51–62, 2003
  61. Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
    SIAM Journal on Control and Optimization, vol. 42, no. 4, p. 1466, 2003
  62. Iterate-averaging sign algorithms for adaptive filtering with applications to blind multiuser detection
    IEEE Transactions on Information Theory, vol. 49, no. 3, pp. 657–671, 2003
  63. Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
    SIAM Journal on Optimization, vol. 13, no. 1, p. 240, 2002
  64. Closed-loop persistent identification of linear systems with unmodeled dynamics and stochastic disturbances
    Automatica, vol. 38, no. 9, pp. 1463–1474, 2002
  65. Recursive algorithms for estimation of hidden Markov models and autoregressive models with Markov regime
    IEEE Transactions on Information Theory, vol. 48, no. 2, pp. 458–476, 2002
  66. Journal of Global Optimization, vol. 23, no. 3/4, pp. 329–358, 2002
  67. Single machine scheduling with randomly compressible processing times
    Stochastic Analysis and Applications, vol. 20, no. 3, pp. 591–613, 2002
  68. Stability of hybrid dynamic systems containing singularly perturbed random processes
    IEEE Transactions on Automatic Control, vol. 47, no. 12, pp. 2021–2032, 2002
  69. Blind channel identification via stochastic approximation: constant step-size algorithms
    Systems & Control Letters, vol. 45, no. 5, pp. 347–356, 2002
  70. Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time
    Automatica, vol. 38, no. 3, pp. 409–419, 2002
  71. Singularly Perturbed Markov Chains with Two Small Parameters: A Matched Asymptotic Expansion
    Journal of Mathematical Analysis and Applications, vol. 267, no. 1, pp. 281–309, 2002
  72. On asymptotic properties of a constant-step-size sign-error algorithm for adaptive filtering
    Science in China Series F: Information Sciences, vol. 45, no. 5, pp. 321–334, 2002
  73. Asymptotic Properties of Solutions of Parabolic Equations Arising from Transient Diffusions
    Acta Mathematicae Applicatae Sinica, English Series, vol. 18, no. 3, pp. 353–364, 2002
  74. Countable-state-space Markov chains with two time scales and applications to queueing systems
    Advances in Applied Probability, vol. 34, no. 3, pp. 662–688, 2002
  75. document
    Applied Mathematics and Optimization, vol. 44, no. 2, pp. 105–129, 2001
  76. Discrete-time dynamic systems arising from singularly perturbed Markov chains
    Nonlinear Analysis, vol. 47, no. 7, pp. 4763–4774, 2001
  77. Journal of Optimization Theory and Applications, vol. 110, no. 1, pp. 211–233, 2001
  78. NEARLY OPTIMAL CONTROL OF NONLINEAR MARKOVIAN SYSTEMS SUBJECT TO WEAK AND STRONG INTERACTIONS
    Stochastic Analysis and Applications, vol. 19, no. 3, pp. 361–386, 2001
  79. Optimal control of a marketing-production system
    IEEE Transactions on Automatic Control, vol. 46, no. 3, pp. 416–427, 2001
  80. Journal of Theoretical Probability, vol. 14, no. 3, pp. 673–697, 2001
  81. Singularly Perturbed Discrete-Time Markov Chains
    SIAM Journal on Applied Mathematics, vol. 61, no. 3, p. 834, 2000
  82. Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states
    The Annals of Applied Probability, vol. 10, no. 2, pp. 549–572, 2000
  83. Scheduling problems with random processing times under expected earliness/tardiness costs
    Stochastic Analysis and Applications, vol. 18, no. 3, pp. 453–473, 2000
  84. Persistent identification of systems with unmodeled dynamics and exogenous disturbances
    IEEE Transactions on Automatic Control, vol. 45, no. 7, pp. 1246–1256, 2000
  85. Journal of Optimization Theory and Applications, vol. 105, no. 2, pp. 391–415, 2000
  86. Single-machine scheduling with random machine breakdowns and randomly compressible processing times
    Stochastic Analysis and Applications, vol. 18, no. 4, pp. 635–653, 2000
  87. Journal of Optimization Theory and Applications, vol. 105, no. 1, pp. 189–212, 2000
  88. ERROR BOUNDS FOR OCCUPATION MEASURE OF SINGULARLY PERTURBED MARKOV CHAINS INCLUDING TRANSIENT STATES
    Probability in the Engineering and Informational Sciences, vol. 14, no. 4, pp. 511–531, 2000
  89. Journal of Optimization Theory and Applications, vol. 107, no. 2, pp. 391–414, 2000
  90. Asymptotic Behavior of Parabolic Equations Arising from One-Dimensional Null-Recurrent Diffusions
    Journal of Differential Equations, vol. 161, no. 1, pp. 154–173, 2000
  91. Occupation Measures of Singularly Perturbed Markov Chains with Absorbing States
    Acta Mathematica Sinica, English Series, vol. 16, no. 1, pp. 161–180, 2000
  92. Singularly Perturbed Markov Chains: Convergence and Aggregation
    Journal of Multivariate Analysis, vol. 72, no. 2, pp. 208–229, 2000
  93. Convergence of a global stochastic optimization algorithm with partial step size restarting
    Advances in Applied Probability, vol. 32, no. 2, pp. 480–498, 2000
  94. Rates of Convergence for a Class of Global Stochastic Optimization Algorithms
    SIAM Journal on Optimization, vol. 10, no. 1, p. 99, 1999
  95. Singularly Perturbed Multidimensional Switching Diffusions with Fast and Slow Switchings,
    Journal of Mathematical Analysis and Applications, vol. 229, no. 2, pp. 605–630, 1999
  96. Asymptotic Expansions of Solutions of Integro- Differential Equations for Transition Densities of Singularly Perturbed Switching Diffusions: Rapid Switchings
    Journal of Mathematical Analysis and Applications, vol. 238, no. 2, pp. 516–539, 1999
  97. Journal of Optimization Theory and Applications, vol. 102, no. 3, pp. 555–591, 1999
  98. Emprical distribution for linear system identification
    Stochastic Analysis and Applications, vol. 17, no. 2, pp. 295–313, 1999
  99. On nearly optimal controls of hybrid LQG problems
    IEEE Transactions on Automatic Control, vol. 44, no. 12, pp. 2271–2282, 1999
  100. Review Of Stochastic Approximation Algorithms And Applications [Book Reviews]
    Proceedings of the IEEE, vol. 87, no. 4, pp. 688–690, 1999
  101. Budget-Dependent Convergence Rate of Stochastic Approximation
    SIAM Journal on Optimization, vol. 8, no. 1, p. 217, 1998
  102. Manufacturing systems: wear modeling and numerical procedures
    Stochastic Analysis and Applications, vol. 15, no. 3, pp. 269–293, 1997
  103. Structural properties of Markov chains with weak and strong interactions
    Stochastic Processes and their Applications, vol. 70, no. 2, pp. 181–197, 1997
  104. Markov chains with weak and strong interactions: Structural properties
    Nonlinear Analysis, vol. 30, no. 1, pp. 309–316, 1997
  105. Journal of Optimization Theory and Applications, vol. 94, no. 1, pp. 169–194, 1997
  106. Control of Dynamic Systems under the Influence of Singularly Perturbed Markov Chains
    Journal of Mathematical Analysis and Applications, vol. 216, no. 1, pp. 343–367, 1997
  107. Convergence and Error Bounds for Passive Stochastic Algorithms Using Vanishing Step Size
    Journal of Mathematical Analysis and Applications, vol. 200, no. 2, pp. 474–497, 1996
  108. Periodic maintenance and repair rate control in stochastic manufacturing systems
    Journal of Optimization Theory and Applications, vol. 91, no. 2, pp. 347–361, 1996
  109. Passive stochastic approximation with constant step size and window width
    IEEE Transactions on Automatic Control, vol. 41, no. 1, pp. 90–106, 1996
  110. A central limit theorem for singularly perturbed nonstationary finite state Markov chains
    The Annals of Applied Probability, vol. 6, no. 2, pp. 650–670, 1996
  111. SIAM Journal on Applied Mathematics, vol. 56, no. 6, Article ID 0156076, 1996
  112. SIAM Journal on Applied Mathematics, vol. 56, no. 6, Article ID 0156075, 1996
  113. SIAM Journal on Applied Mathematics, vol. 56, no. 1, Article ID 0156015, 1996
  114. Robust production and maintenance planning in stochastic manufacturing systems
    IEEE Transactions on Automatic Control, vol. 40, no. 6, pp. 1098–1102, 1995
  115. On variational inequality approach to nash dynamic game of oil stockpiling
    Stochastic Analysis and Applications, vol. 13, no. 5, pp. 627–649, 1995
  116. Large Sample Behavior in Bayesian Analysis of Nonlinear Regression Models
    Journal of Mathematical Analysis and Applications, vol. 192, no. 2, pp. 607–626, 1995
  117. Using stochastic optimization to determine threshold values for the control of unreliable manufacturing systems
    Journal of Optimization Theory and Applications, vol. 83, no. 3, pp. 511–539, 1994
  118. Near optimality of stochastic control in systems with unknown parameter processes
    Applied Mathematics & Optimization, vol. 29, no. 3, pp. 263–284, 1994
  119. On convergence of adaptive estimation procedures with time delays
    Stochastic Analysis and Applications, vol. 12, no. 4, pp. 505–516, 1994
  120. Weak convergence of term structure movements and the connection of prices and interest rates
    Stochastic Analysis and Applications, vol. 11, no. 1, pp. 61–76, 1993
  121. Joint Robustness on Noise and Liapunov Functions for Parallel Stochastic Approximation Algorithms
    Journal of Mathematical Analysis and Applications, vol. 173, no. 1, pp. 229–254, 1993
  122. Nearly Optimal State Feedback Controls for Delay Differential Equations with a Small Parameter
    Journal of Mathematical Analysis and Applications, vol. 172, no. 2, pp. 480–499, 1993
  123. On convergence of adaptive estimation procedures with time delays
    Stochastic Analysis and Applications, vol. 11, no. 4, pp. 483–495, 1993
  124. On a continuous time stochastic approximation problem
    Acta Applicandae Mathematicae, vol. 33, no. 1, pp. 3–20, 1993
  125. Almost sure convergence in distributed parameter identification algorithms under correlated noise
    Applied Mathematics Letters, vol. 5, no. 4, pp. 41–44, 1992
  126. On h-valued stochastic approximation: finite dimenstional projections
    Stochastic Analysis and Applications, vol. 10, no. 3, pp. 363–377, 1992
  127. Averaging procedures in adaptive filtering: an efficient approach
    IEEE Transactions on Automatic Control, vol. 37, no. 4, pp. 466–475, 1992
  128. On parameter estimation of the DMC models
    Stochastic Analysis and Applications, vol. 9, no. 2, pp. 215–232, 1991
  129. A stopping rule for the Robbins-Monro method
    Journal of Optimization Theory and Applications, vol. 67, no. 1, pp. 151–173, 1990
  130. On H-valued Robbins-Monro processes
    Journal of Multivariate Analysis, vol. 34, no. 1, pp. 116–140, 1990
  131. A differential delay equation with wideband noise perturbations
    Stochastic Processes and their Applications, vol. 35, no. 2, pp. 231–249, 1990
  132. Corrigendum
    International Journal of Control, vol. 50, no. 5, pp. 2105–2105, 1989
  133. Almost sure convergence of stochastic approximation algorithms with non-additive noise
    International Journal of Control, vol. 49, no. 4, pp. 1361–1376, 1989
  134. On operator-valued mixingales
    Stochastic Analysis and Applications, vol. 7, no. 3, pp. 355–366, 1989
  135. On robustness of the Robbins-Monro method for parallel processing
    Systems & Control Letters, vol. 12, no. 1, pp. 77–86, 1989
  136. Optimal quasi-convex combinations for stochastic approximation algorithms with parallel observers
    International Journal of Control, vol. 49, no. 6, pp. 1947–1964, 1989
  137. Asymptotic properties of an adaptive beam former algorithm
    IEEE Transactions on Information Theory, vol. 35, no. 4, pp. 859–867, 1989
  138. A stopping rule for least-squares identification
    IEEE Transactions on Automatic Control, vol. 34, no. 6, pp. 659–662, 1989
  139. Adaptive filters with constraints and correlated non-stationary signals
    Systems & Control Letters, vol. 10, no. 4, pp. 271–279, 1988
  140. A stopped stochastic approximation algorithm
    Systems & Control Letters, vol. 11, no. 2, pp. 107–115, 1988
  141. SIAM Journal on Control and Optimization, vol. 25, no. 5, Article ID 0325070, 1987