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Reward Algorithms for Semi-Markov Processes
Stockholm University, Faculty of Science, Department of Mathematics.
Number of Authors: 2
2017 (English)In: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 19, no 4, 1191-1209 p.Article in journal (Refereed) Published
Abstract [en]

New algorithms for computing power moments of hitting times and accumulated rewards of hitting type for semi-Markov processes are developed. The algorithms are based on special techniques of sequential phase space reduction and recurrence relations connecting moments of rewards. Applications are discussed as well as possible generalizations of presented results and examples.

Place, publisher, year, edition, pages
2017. Vol. 19, no 4, 1191-1209 p.
Keyword [en]
Semi-Markov process, Hitting time, Accumulated reward, Power moment, Phase space reduction, Recurrent algorithm
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:su:diva-148812DOI: 10.1007/s11009-017-9559-2ISI: 000413792200012OAI: oai:DiVA.org:su-148812DiVA: diva2:1156814
Available from: 2017-11-14 Created: 2017-11-14 Last updated: 2017-11-29Bibliographically approved

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Silvestrov, Dmitrii
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