On a fundamental identity in the theory of semi-Markov processes

DOI10.2307/1425998MaRDI QIDQ5654849zbMATH OpenOpenAlexFDO

Authors Elja Arjas

Publication date 1972

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1425998

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50) Markov renewal processes, semi-Markov processes (60K15) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited in

(6)

• Distributions of overshoots for almost continuous stochastic processes defined on a Markov chain
• Wiener-Hopf equations and their applications in probability theory
• Symmetric Wiener-Hopf factorisations in Markov additive processes
• An analytical solution for the discrete time single server system with semi-Markovian arrivals
• The single server semi-Markov queue
• On the moment-generating functions of extrema and their complements for almost semicontinuous integer-valued Poisson processes on Markov chains

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