Journal article

Semi-markov processes with phase-type waiting times

We discuss the dynamics of continuous time semi-markov chains with phase-type waiting times. It is shown that the resulting generalized master equation which governs the marginal transition probability density can be written as a high order differential-difference equation; the order being directly related to the number of phases used to characterize the waiting time.


    IMT/DMT, EPFL, 1015 Lausanne, Switzerland DMA, EPFL, 1015 Lausanne, Switzerland

    Export Date: 6 December 2012

    Source: Scopus

    Language of Original Document: English

    Correspondence Address: Hongler, M.O.; IMT/DMT, EPFL, 1015 Lausanne, Switzerland

    References: Ross, S., (1972) Introduction to Probability Models, , Academic Press; Montroll, E.W., West, B.J., On an enriched collection of stochastic processes (1979) Studies in Statistical Mechanics, 7. , ed. E. W. Montroll & J. L. Lebowitz, North Holland; Cinlar, E., Markov renewal theory: A survey (1975) Management Science, 21, pp. 727-752; Neuts, M.F., (1981) Matrix Geometric Solutions in Stochastic Models, , Johns Hopkins University Press


    Record created on 2013-01-07, modified on 2016-08-09


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