SOME BOUNDS ON THE ERROR IN APPROXIMATING TRANSITION-PROBABILITIES IN CONTINUOUS-TIME MARKOV-PROCESSES

被引：4

作者：

ANGUS, JE

机构：

来源：

SIAM REVIEW | 1992年 / 34卷 / 01期

关键词：

INEQUALITIES; COUPLING; MATRIX EXPONENTIAL;

D O I：

10.1137/1034005

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Ross (1987) proposed a method of approximating the matrix of transition probabilities P(t) of a continuous-time Markov Process that, roughly speaking, amounts to P(t) = exp(tR) almost-equal-to (I-tR/n)-n, where R is the infinitesimal matrix of the Markov process and I is the identity matrix. It is shown using probabilistic arguments that the error in using this approximation is bounded by a term of order 1/n for fixed t.

引用

页码：110 / 113

页数：4

共 50 条

[1] ON A CLASS OF CONTINUOUS-TIME MARKOV-PROCESSES
GANI, J
TIN, P
[J]. JOURNAL OF APPLIED PROBABILITY, 1985, 22 (04) : 804 - 815
[2] ABSOLUTE STATIONARY PROBABILITIES FOR CONTINUOUS TIME MARKOV-PROCESSES
ANDRIEU, C
THEODORESCU, R
[J]. ATTI DELLA ACCADEMIA NAZIONALE DEI LINCEI RENDICONTI-CLASSE DI SCIENZE FISICHE-MATEMATICHE & NATURALI, 1973, 54 (06): : 892 - 897
[3] ON LEVY THEOREM CONCERNING POSITIVENESS OF TRANSITION-PROBABILITIES OF MARKOV-PROCESSES - THE CIRCUIT PROCESSES CASE
KALPAZIDOU, S
[J]. JOURNAL OF APPLIED PROBABILITY, 1993, 30 (01) : 28 - 39
[4] SEQUENTIAL ESTIMATION FOR CONTINUOUS-TIME FINITE MARKOV-PROCESSES
ADKE, SR
MANJUNATH, SM
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1984, 18 (02) : 227 - 227
[5] SEQUENTIAL ESTIMATION FOR CONTINUOUS-TIME FINITE MARKOV-PROCESSES
ADKE, SR
MANJUNATH, SM
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1984, 13 (09) : 1089 - 1106
[6] Kolmogorov equations in fractional derivatives for the transition probabilities of continuous-time Markov processes
Miroshin R.N.
[J]. Vestnik St. Petersburg University, Mathematics, 2017, 50 (1) : 24 - 31
[7] ZERO-ONE LAW AND ASYMPTOTIC-BEHAVIOR OF TRANSITION-PROBABILITIES OF MARKOV-PROCESSES
REVUZ, D
[J]. ANNALES DE L INSTITUT HENRI POINCARE SECTION B-CALCUL DES PROBABILITES ET STATISTIQUE, 1983, 19 (01): : 9 - 24
[8] CONTINUOUS-TIME MARKOV-PROCESSES AS A STOCHASTIC-MODEL FOR SEDIMENTATION
ROLKE, WA
[J]. MATHEMATICAL GEOLOGY, 1991, 23 (03): : 297 - 304
[9] A CLASS OF INFINITESIMAL GENERATORS OF ONE-DIMENSIONAL MARKOV-PROCESSES .3. TRANSITION-PROBABILITIES
LANGER, H
SCHENK, W
[J]. MATHEMATISCHE NACHRICHTEN, 1981, 102 : 25 - 44
[10] On the Ergodicity of some Continuous-Time Markov Processes*
Elesin M.A.
Kuznetsov A.V.
Zeifman A.I.
[J]. Journal of Mathematical Sciences, 2014, 196 (1) : 43 - 49

← 1 2 3 4 5 →