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

DOI10.1016/j.spl.2007.12.016zbMath1190.60065OpenAlexW2063591203MaRDI 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 analysisreliability functionrenewal equationpiecewise deterministic Markov process (PDMP)Markov renewal process (MRP)Monte Carlo estimator

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Reliability and life testing (62N05) Transition functions, generators and resolvents (60J35)

Related Items (6)

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

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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