跃迁马尔可夫型过程命中时间的统一方法

IF 1 4区数学 Q3 STATISTICS & PROBABILITY

Methodology and Computing in Applied Probability Pub Date : 2024-08-16 DOI:10.1007/s11009-024-10100-2

Nikolaos Limnios, Bei Wu

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引用次数: 0

摘要

本文研究的是马尔可夫型跳跃过程（即半马尔可夫、马尔可夫、连续或离散时间）的命中时间的渐近分析，其进入非空终端子集的概率很小。这意味着吸收是一个罕见事件。所有四种类型过程的平均命中时间函数都服从相同的方程。我们获得了统一的渐近近似结果，即平均命中时间的数列方案或等价函数类型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

A Unified Approach for Hitting Time of Jump Markov Type Processes

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A Unified Approach for Hitting Time of Jump Markov Type Processes

This paper investigates the asymptotic analysis of the hitting time of Markov-type jump processes (i.e., semi-Markov, Markov, in continuous or discrete time) with a small probability of entering a non-empty terminal subset. This means that absorption is a rare event. The mean hitting time function of all four type processes obeyed the same equation. We obtain unified results of asymptotic approximation in a series scheme or, equivalently, a functional type of mean hitting time.

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来源期刊

Methodology and Computing in Applied Probability 数学-统计学与概率论

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： Methodology and Computing in Applied Probability will publish high quality research and review articles in the areas of applied probability that emphasize methodology and computing. Of special interest are articles in important areas of applications that include detailed case studies. Applied probability is a broad research area that is of interest to many scientists in diverse disciplines including: anthropology, biology, communication theory, economics, epidemiology, finance, linguistics, meteorology, operations research, psychology, quality control, reliability theory, sociology and statistics. The following alphabetical listing of topics of interest to the journal is not intended to be exclusive but to demonstrate the editorial policy of attracting papers which represent a broad range of interests: -Algorithms- Approximations- Asymptotic Approximations & Expansions- Combinatorial & Geometric Probability- Communication Networks- Extreme Value Theory- Finance- Image Analysis- Inequalities- Information Theory- Mathematical Physics- Molecular Biology- Monte Carlo Methods- Order Statistics- Queuing Theory- Reliability Theory- Stochastic Processes