Recursive Moment Formulas for Semi-Markov Processes.
Abstract
Let X = (X(t):t > or = 0) be an irreducible semi-markov process (SMP) on countable state space E. For fixed Z an element of E, let T(z) =inf(t > or = 0:X(t-)not =z, X(t)=z) and set Y(f) = integral from 0 to T sub z of f(X(t))dt, where f: E approaches R is an arbitrary function. Our objective is to study the mixed moments of the form E pi from i = 1 to r of Y(f sub i), when f sub i: E approaches R is an arbitrary function, for i = 1,2,...r, and r is a positive integer. This quantity is especially relevant to the regenerative simulation. Also, several useful variations and generalizations are introduced and studied. Keywords: Semi-Markov processes; regenerative simulation; recursive moments.
Document Details
- Document Type
- Technical Report
- Publication Date
- Apr 01, 1986
- Accession Number
- ADA169253
Entities
People
- Chia-hon Chien
Organizations
- Stanford University