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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: Proceedings of the 17th Applied Stochastic Models and Data Analysis International Conference with the 6th Demographics Workshop / [ed] Christos H. Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2017, 919-938 p.Conference paper, Published paper (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
ISAST: International Society for the Advancement of Science and Technology , 2017. 919-938 p.
Keyword [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: diva2:1158474
Conference
17th Applied Stochastic Models and Data Analysis Conference with the 6th Demographics Workshop, London, UK, 6 - 9 June, 2017
Available from: 2017-11-20 Created: 2017-11-20 Last updated: 2017-11-30Bibliographically approved

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