Computational Algorithms for Moments of Accumulated Markov and Semi-Markov Rewards

DOI10.1080/03610926.2013.800882zbMath1422.91772OpenAlexW2140051075MaRDI QIDQ5419659

Dmitrii S. Silvestrov, Raimondo Manca, Evelina D. Silvestrova

Publication date: 11 June 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.800882

zbMATH Keywords

Markov chainsemi-Markov chainaccumulated rewardhigh-order momentrecurrence backward algorithmtime-space truncation approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Queues and service in operations research (90B22) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Markov renewal processes, semi-Markov processes (60K15)

Related Items (2)

Reward algorithms for semi-Markov processes ⋮ Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes

Cites Work

• Recurrence relations for generalized hitting times for semi-Markov processes
• An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance
• Semi-Markov Risk Models for Finance, Insurance and Reliability

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