The first-passage times of phase semi-Markov processes

In this paper, we consider a class of semi-Markov processes, known as phase semi-Markov processes, which can be considered as an extension of Markov processes, but whose times between transitions are phase-type random variables. Based on the theory of generalized inverses, we derive expressions for the moments of the first-passage time distributions, generalizing the results obtained by Kemeny and Snell (1960) for Markov chains.

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Year of publication:	2012
Authors:	Zhang, Xuan ; Hou, Zhenting
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 1, p. 40-48
Publisher:	Elsevier
Subject:	Generalized inverse \| Phase semi-Markov process \| Fundamental matrix

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

Persistent link: https://www.econbiz.de/10010582236