APPROXIMATE UNIFORMIZATION FOR CONTINUOUS-TIME MARKOV-CHAINS WITH AN APPLICATION TO PERFORMABILITY ANALYSIS

被引：10
|
作者：
VANDIJK, NM
机构：
[1] Department of Econometrics, Free University
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1992年 / 40卷 / 02期
关键词：
CONTINUOUS-TIME MARKOV CHAINS; JUMP RATES; APPROXIMATE UNIFORMIZATION; ERROR BOUND;
D O I：
10.1016/0304-4149(92)90018-L
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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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页码：339 / 357
页数：19
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