Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Quasi-Stationary Asymptotics for Perturbed Semi-Markov Processes in Discrete Time
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
Rekke forfattare: 12017 (engelsk)Inngår i: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 19, nr 4, s. 1047-1074Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

We consider a discrete time semi-Markov process where the characteristics defining the process depend on a small perturbation parameter. It is assumed that the state space consists of one finite communicating class of states and, in addition, one absorbing state. Our main object of interest is the asymptotic behavior of the joint probabilities of the position of the semi-Markov process and the event of non-absorption as time tends to infinity and the perturbation parameter tends to zero. The main result gives exponential expansions of these probabilities together with a recursive algorithm for computing the coefficients in the expansions. An application to perturbed epidemic SIS models is discussed.

sted, utgiver, år, opplag, sider
2017. Vol. 19, nr 4, s. 1047-1074
Emneord [en]
Semi-Markov process, Perturbation, Asymptotic expansion, Regenerative process, Renewal equation, Solidarity property, First hitting time
HSV kategori
Forskningsprogram
matematisk statistik
Identifikatorer
URN: urn:nbn:se:su:diva-148811DOI: 10.1007/s11009-016-9530-7ISI: 000413792200004OAI: oai:DiVA.org:su-148811DiVA, id: diva2:1156812
Konferanse
15th Applied Stochastic Models and Data Analysis International Conference (ASMDA), Piraeus, Greece June 30-July 04, 2015
Tilgjengelig fra: 2017-11-14 Laget: 2017-11-14 Sist oppdatert: 2022-03-23bibliografisk kontrollert
Inngår i avhandling
1. Perturbed discrete time stochastic models
Åpne denne publikasjonen i ny fane eller vindu >>Perturbed discrete time stochastic models
2016 (engelsk)Doktoravhandling, med artikler (Annet vitenskapelig)
Abstract [en]

In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. In particular, asymptotic expansions are given for solutions of renewal equations, quasi-stationary distributions for semi-Markov processes, and ruin probabilities for risk processes.

sted, utgiver, år, opplag, sider
Stockholm: Department of Mathematics, Stockholm University, 2016. s. 48
Emneord
Renewal equation, Perturbation, Asymptotic expansion, Regenerative process, Risk process, Semi-Markov process, Markov chain, Quasi-stationary distribution, Ruin probability, First hitting time, Solidarity property
HSV kategori
Forskningsprogram
matematisk statistik
Identifikatorer
urn:nbn:se:su:diva-128979 (URN)978-91-7649-422-6 (ISBN)
Disputas
2016-06-02, Sal 14, hus 5, Kräftriket, Roslagsvägen 101, Stockholm, 13:00 (engelsk)
Opponent
Veileder
Merknad

At the time of the doctoral defense, the following papers were unpublished and had a status as follows: Paper 4: Manuscript. Paper 5: Manuscript. Paper 6: Manuscript.

Tilgjengelig fra: 2016-05-10 Laget: 2016-04-11 Sist oppdatert: 2022-02-23bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekst
Av organisasjonen
I samme tidsskrift
Methodology and Computing in Applied Probability

Søk utenfor DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 152 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf