Recurrent Algorithms for Mixed Power-Exponential Moments of Hitting Times for Semi-Markov Processes 2017 (English)In: Proceedings of the 17th Applied Stochastic Models and Data Analysis International Conference with the 6th Demographics Workshop / [ed] Christos H. Skiadas, International Society for the Advancement of Science and Technology , 2017, p. 919-937Conference 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

International Society for the Advancement of Science and Technology , 2017. p. 919-937

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-149172ISBN: 978-618-5180-23-2 (electronic)OAI: 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 June, 2017

Available from: 2017-11-20 Created: 2017-11-20 Last updated: 2022-02-28Bibliographically approved

Open Access in DiVA

No full text in DiVA

Authority records

Silvestrov, Dmitrii

Search in DiVA

By author/editor

Silvestrov, Dmitrii

By organisation

Department of Mathematics

On the subject

Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle ScholarTotal: 29 hits