Asymptotic expansion for the distribution of absorption time of a semi-Markov process

1979 ◽  
Vol 30 (3) ◽  
pp. 331-335 ◽  
Author(s):  
A. Tadzhiev
Keyword(s):  
Asymptotic Expansion ◽  
Markov Process ◽  
Absorption Time ◽  
Semi Markov Process

A temporal factorization at the maximum for certain positive self-similar Markov processes

2020 ◽  
Vol 57 (4) ◽  
pp. 1045-1069
Author(s):  
Matija Vidmar
Keyword(s):  
Markov Process ◽  
Laplace Transform ◽  
Markov Processes ◽  
Absorption Time ◽  
The Laplace Transform ◽  
Self Similar

AbstractFor a spectrally negative self-similar Markov process on $[0,\infty)$ with an a.s. finite overall supremum, we provide, in tractable detail, a kind of conditional Wiener–Hopf factorization at the maximum of the absorption time at zero, the conditioning being on the overall supremum and the jump at the overall supremum. In a companion result the Laplace transform of this absorption time (on the event that the process does not go above a given level) is identified under no other assumptions (such as the process admitting a recurrent extension and/or hitting zero continuously), generalizing some existing results in the literature.

Partially observable semi-Markov reward processes

1993 ◽  
Vol 30 (3) ◽  
pp. 548-560 ◽  
Author(s):  
Yasushi Masuda
Keyword(s):  
Markov Process ◽  
Counting Process ◽  
Probabilistic Interpretation ◽  
Real Domain ◽  
Semi Markov Process ◽  
Reward Process ◽  
Markov Reward ◽  
Partially Observable ◽  
Joint Behavior

The main objective of this paper is to investigate the conditional behavior of the multivariate reward process given the number of certain signals where the underlying system is described by a semi-Markov process and the signal is defined by a counting process. To this end, we study the joint behavior of the multivariate reward process and the multivariate counting process in detail. We derive transform results as well as the corresponding real domain expressions, thus providing clear probabilistic interpretation.

Continuous Semi-Markov Process by HARLAMOV, B.

Biometrics ◽  
2008 ◽  
Vol 64 (4) ◽  
pp. 1301-1301
Author(s):  
Mei-Jie Zhang
Keyword(s):  
Markov Process ◽  
Semi Markov Process

scholarly journals Maximal success durations for a semi-Markov process

1987 ◽  
Vol 24 (2) ◽  
pp. 203-224 ◽  
Author(s):  
David E. Fousler ◽  
Samuel Karlin
Keyword(s):  
Markov Process ◽  
Semi Markov Process

A note on the first two moments of times in transient states in a semi-Markov process

1974 ◽  
Vol 11 (01) ◽  
pp. 193-198 ◽  
Author(s):  
Edward P. C. Kao
Keyword(s):  
Markov Process ◽  
Transient States ◽  
Semi Markov Process

This paper derives results for computing the first two moments of times in transient states and times to absorption in a transient semi-Markov process. An illustrative example is presented at the end.

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