Approximate uniformization for continuous-time Markov chains with an application to performability analysis

An approximate version of the standard uniformization technique is introduced for application to continuous-time Markov chains with unbounded jump rates. This technique is shown to be asymptotically exact and an error bound for the order of its accuracy is provided. An illustrative queueing application is included.

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Year of publication:	1992
Authors:	Dijk, Nico M. van
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 40.1992, 2, p. 339-357
Publisher:	Elsevier
Keywords:	continuous-time Markov chains jump rates approximate uniformization error bound

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875580