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Recurrent Algorithms for Mixed Power: Exponential Moments of Hitting Times for Semi-Markov Processes
Stockholm University, Faculty of Science, Department of Mathematics.ORCID iD: 0000-0002-2626-5598
2017 (English)In: Book of Abstracts / [ed] Christos H. Skiadas, 2017, p. 172-172Conference paper, Oral presentation with published abstract (Refereed)
Abstract [en]

New algorithms for computing exponential and mixed power-exponential moments of hitting times and accumulated rewards of hitting type for semi-Markov processes are presented. The algorithms are based on special techniques of sequential phase space reduction and recurrence relations connecting exponential moments of rewards.

Place, publisher, year, edition, pages
2017. p. 172-172
Keywords [en]
Semi-Markov process, Hitting time, Accumulated reward, Exponential moment, Power-exponential moment, Phase space reduction, Recurrent algorithm
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:su:diva-149172OAI: oai:DiVA.org:su-149172DiVA, id: diva2:1158474
Conference
17th Applied Stochastic Models and Data Analysis Conference with the 6th Demographics Workshop, London, UK, 6-9, 2017
Available from: 2017-11-20 Created: 2017-11-20 Last updated: 2018-09-24Bibliographically approved

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