On semi-Markov processes and their Kolmogorov's integro-differential equations
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Publication:1635682
DOI10.1016/J.JFA.2018.02.011zbMATH Open1396.60094arXiv1701.02905OpenAlexW2963854685WikidataQ130189802 ScholiaQ130189802MaRDI QIDQ1635682FDOQ1635682
Enzo Orsingher, Bruno Toaldo, Costantino Ricciuti
Publication date: 1 June 2018
Published in: Journal of Functional Analysis (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1701.02905
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Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Markov renewal processes, semi-Markov processes (60K15)
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