First passage times for multidimensional denumerable state Markov processes

被引：4

作者：

Xu, GH ^{[1
]}

Xu, DJ

机构：

[1] Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China

[2] CAS, Asian Pacific Operat Res Ctr, Beijing 100080, Peoples R China

[3] APORS, Beijing 100080, Peoples R China

来源：

CHINESE SCIENCE BULLETIN | 1999年 / 44卷 / 11期

关键词：

multidimensional denumerable state Markov process; first passage time; uniformization; uniform error;

D O I：

10.1007/BF02886012

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

For a general multidimensional denumerable state Markov process with any initial state probability vector, the probability density function and its LS transform of the first passage time to a certain given state set are obtained and the algorithms for them are derived. It is proved that the resulting errors of the algorithms are both uniform in their respective arguments. Some numerical results are presented.

引用

页码：970 / 980

页数：11

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