Bounds and approximations for continuous-time Markovian transition probabilities and large systems

DOI10.1016/J.EJOR.2006.12.036MaRDI QIDQ2456419zbMATH OpenOpenAlexFDO

Authors Sophie Mercier

Publication date 18 October 2007

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2006.12.036

zbMATH Keywords

Markov processesnumerical bounds and approximationsreliabilitytime-dependent quantities

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Continuous-time Markov processes on general state spaces (60J25)

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Cites work

• A numerical study of large sparse matrix exponentials arising in Markov chains.
• Approximation of the marginal distributions of a semi-Markov process using a finite volume scheme
• Discrete random bounds for general random variables and applications to reliability
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• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Numerical bounds for semi-Markovian quantities and application to reliability
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Cited in

(11)

• Bounding inferences for large-scale continuous-time Markov chains: a new approach based on lumping and imprecise Markov chains
• scientific article; zbMATH DE number 5902217 (Why is no real title available?)
• A Note on Error Bounds for Approximating Transition Probabilities in Continuous-time Markov Chains
• Bounds and Approximations for the Transient Behavior of Continuous-Time Markov Chains
• scientific article; zbMATH DE number 4169798 (Why is no real title available?)
• A method for approximating the probability functions of a Markov chain
• scientific article; zbMATH DE number 19247 (Why is no real title available?)
• Some Bounds on the Error in Approximating Transition Probabilities in Continuous-Time Markov Processes
• The exit time finite state projection scheme: bounding exit distributions and occupation measures of continuous-time Markov chains
• On continuum approximations of discrete-state Markov processes of large system size
• Hyperaccurate bounds in discrete-state Markovian systems

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