UNIFORMIZATION FOR NONHOMOGENEOUS MARKOV-CHAINS

被引：15

作者：

VANDIJK, NM

机构：

[1] University of Amsterdam, Amsterdam

来源：

OPERATIONS RESEARCH LETTERS | 1992年 / 12卷 / 05期

关键词：

CONTINUOUS-TIME MARKOV CHAINS; UNIFORMIZATION; TIME-DISCRETIZATION;

D O I：

10.1016/0167-6377(92)90086-I

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

The discrete Poissonian representation for transition probabilities of homogeneous continuous-time Markov chains, known as uniformization or randomization, is extended to time-inhomogeneous chains. For computational purposes a discrete-time approximation is also provided.

引用

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页码：283 / 291

页数：9

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