On semi-Markov processes and their Kolmogorov's integro-differential equations

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Markov renewal processes, semi-Markov processes (60K15)

Abstract: Semi-Markov processes are a generalization of Markov processes since the exponential distribution of time intervals is replaced with an arbitrary distribution. This paper provides an integro-differential form of the Kolmogorov's backward equations for a large class of homogeneous semi-Markov processes, having the form of an abstract Volterra integro-differential equation. An equivalent evolutionary (differential) form of the equations is also provided. Fractional equations in the time variable are a particular case of our analysis. Weak limits of semi-Markov processes are also considered and their corresponding integro-differential Kolmogorov's equations are identified.

Review text

The paper under review considers semi-Markov processes and their Kolmogorov's integro-differential equations. Semi-Markov processes are a generalization of Markov processes since the exponential distribution of time intervals is replaced with an arbitrary distribution. The paper contains 7 parts. In Section 1 ``Introduction, the authors give an introduction of the history of semi-Markov processes, and the goal of this paper. In Section 2 ``Preliminaries, the authors introduce complete monotonicity and Berstein functions, and subordinators and non-homogeneous subordinators. In Section 3 ``Stepped semi-Markov processes and time-changed Markov processes, the authors introduce and construct a large class of semi-Markov processes. In Section 4 ``The Kolmogorov's equations, the authors present the Kolmogorov's equation for a class of semi-Markov processes in the form of an integro-differential Volterra equation. In Section 5 ``General semi-Markov processes as limit of stepped semi-Markov processes, the authors consider weak limits of semi-Markov processes and identified the corresponding integro-differential Kolmogorov's equations. In Section 6 ``Some remarks on countable state spaces, some results of previous sections are presented when the state space \(\mathcal{S}\) is countable. In Section 7 ``Auxiliary results, two technical results used in the paper are given.

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