On time reversal of piecewise deterministic Markov processes (Q388851): Difference between revisions
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The aim of this paper is to introduce the time reversal of a general piecewise deterministic Markov process (PDMP). Given a stationary version \({X_t}\) of such a process, the authors let \(X_t^ * = {X_{(T - t) - }}\) and study the characteristics of this reversed process. The paper is divided into four sections. In the first section, after recalling the definition of PDMPs, the authors investigate the embedded Markov chains. In Section 2 they define the reversed Markov process and show that it is a PDMP. Section 3 is devoted to PDMPs on the real line. The authors give an integral equation for the stationary distribution and study several examples. In Section 4 they discuss the time reversal of a fluid model. | |||
Property / review text: The aim of this paper is to introduce the time reversal of a general piecewise deterministic Markov process (PDMP). Given a stationary version \({X_t}\) of such a process, the authors let \(X_t^ * = {X_{(T - t) - }}\) and study the characteristics of this reversed process. The paper is divided into four sections. In the first section, after recalling the definition of PDMPs, the authors investigate the embedded Markov chains. In Section 2 they define the reversed Markov process and show that it is a PDMP. Section 3 is devoted to PDMPs on the real line. The authors give an integral equation for the stationary distribution and study several examples. In Section 4 they discuss the time reversal of a fluid model. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Oleg K. Zakusilo / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60K25 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6247182 / rank | |||
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Property / zbMATH Keywords | |||
piecewise deterministic Markov process | |||
Property / zbMATH Keywords: piecewise deterministic Markov process / rank | |||
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Markov process | |||
Property / zbMATH Keywords: Markov process / rank | |||
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time reversal | |||
Property / zbMATH Keywords: time reversal / rank | |||
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stationary distribution | |||
Property / zbMATH Keywords: stationary distribution / rank | |||
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fluid model | |||
Property / zbMATH Keywords: fluid model / rank | |||
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queues | |||
Property / zbMATH Keywords: queues / rank | |||
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Revision as of 14:34, 29 June 2023
scientific article
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English | On time reversal of piecewise deterministic Markov processes |
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On time reversal of piecewise deterministic Markov processes (English)
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17 January 2014
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The aim of this paper is to introduce the time reversal of a general piecewise deterministic Markov process (PDMP). Given a stationary version \({X_t}\) of such a process, the authors let \(X_t^ * = {X_{(T - t) - }}\) and study the characteristics of this reversed process. The paper is divided into four sections. In the first section, after recalling the definition of PDMPs, the authors investigate the embedded Markov chains. In Section 2 they define the reversed Markov process and show that it is a PDMP. Section 3 is devoted to PDMPs on the real line. The authors give an integral equation for the stationary distribution and study several examples. In Section 4 they discuss the time reversal of a fluid model.
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piecewise deterministic Markov process
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Markov process
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time reversal
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stationary distribution
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fluid model
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queues
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