A fundamental matrix for regular semi-Markov processes

DOI10.1016/0304-4149(89)90059-8MaRDI QIDQ1120198zbMATH OpenOpenAlexFDO

Authors Mendel Fygenson

Publication date 1989

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(89)90059-8

zbMATH Keywords

first passage timesfundamental matrixsemi-Markov theory

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15)

Review text

The author defines the concept of a fundamental matrix within the framework of semi-Markov theory. He uses the matrix to derive information on the time spent in a state and on first passage times; in particular, moment formulae and/or limit theorems are derived. The approach is claimed to be easily implemented because of the use of elementary matrix operations.

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Cites work

• scientific article; zbMATH DE number 3116194 (Why is no real title available?)
• scientific article; zbMATH DE number 3145626 (Why is no real title available?)
• Markov chain models - rarity and exponentiality
• Markov Renewal Processes with Finitely Many States
• Markov Renewal Processes: Definitions and Preliminary Properties
• Markov renewal theory
• Regenerative stochastic processes

Cited in

(2)

• The fundamental matrix of singularly perturbed Markov chains
• The first-passage times of phase semi-Markov processes

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