A method to compute the transition function of a piecewise deterministic Markov process with application to reliability

DOI10.1016/j.spl.2007.12.016zbMath1190.60065MaRDI QIDQ945770

Nikolaos Limnios, Julien Chiquet

Publication date: 17 September 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.12.016

zbMATH Keywords

survival analysis; reliability function; renewal equation; piecewise deterministic Markov process (PDMP); Markov renewal process (MRP); Monte Carlo estimator

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

62N05: Reliability and life testing

60J35: Transition functions, generators and resolvents

Related Items

Importance and sensitivity analysis in dynamic reliability, Regression analysis of stochastic fatigue crack growth model in a martingale difference framework, Piecewise deterministic Markov processes applied to fatigue crack growth modelling, Semi-parametric inference for the absorption features of a growth-fragmentation model, Numerical Methods for the Exit Time of a Piecewise-Deterministic Markov Process, Non-Parametric Estimation of the Conditional Distribution of the Interjumping Times for Piecewise-Deterministic Markov Processes

Cites Work

• Estimating stochastic dynamical systems driven by a continuous-time jump Markov process
• Semi-Markov processes and reliability
• Stochastic differential equations. An introduction with applications.
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