Continuous time Markov chains observed on an alternating renewal process with exponentially distributed durations

DOI10.1016/J.SPL.2005.08.025MaRDI QIDQ2489882zbMATH OpenOpenAlexFDO

Authors Wenyaw Chan, Nan-Fu Peng

Publication date 28 April 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.08.025

zbMATH Keywords

continuous time Markov processesstationary distributions

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37)

Review text

The paper considers a stochastic process resulted from a continuous time Markov chain observed on a system following the behavior of an alternating renewal process. This alternating renewal process is assumed to have exponentially distributed durations. The paper studies the limiting behavior of this process and the embedded processes observed at the beginning of each stage. The limiting probability distribution of the whole process is derived in terms of stationary probabilities of the embedded processes.

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Cites work

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Cited in

(1)

• On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence

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