Continuous Semi Markov Processes

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Continuous Semi-Markov Processes

Boris Harlamov
Continuous Semi Markov Processes Book PDF

Author : Boris Harlamov
Publisher : John Wiley & Sons
Page : 313 pages
File Size : 47,7 Mb
Release : 2013-03-01
Category : Mathematics
ISBN : 9781118624050

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Continuous Semi-Markov Processes by Boris Harlamov Pdf

This title considers the special of random processes known as semi-Markov processes. These possess the Markov property with respect to any intrinsic Markov time such as the first exit time from an open set or a finite iteration of these times. The class of semi-Markov processes includes strong Markov processes, Lévy and Smith stepped semi-Markov processes, and some other subclasses. Extensive coverage is devoted to non-Markovian semi-Markov processes with continuous trajectories and, in particular, to semi-Markov diffusion processes. Readers looking to enrich their knowledge on Markov processes will find this book a valuable resource.

Semi-Markov Processes and Reliability

N. Limnios,G. Oprisan
Semi Markov Processes and Reliability Book PDF

Author : N. Limnios,G. Oprisan
Publisher : Springer Science & Business Media
Page : 226 pages
File Size : 41,9 Mb
Release : 2012-12-06
Category : Technology & Engineering
ISBN : 9781461201618

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Semi-Markov Processes and Reliability by N. Limnios,G. Oprisan Pdf

At first there was the Markov property. The theory of stochastic processes, which can be considered as an exten sion of probability theory, allows the modeling of the evolution of systems through the time. It cannot be properly understood just as pure mathemat ics, separated from the body of experience and examples that have brought it to life. The theory of stochastic processes entered a period of intensive develop ment, which is not finished yet, when the idea of the Markov property was brought in. Not even a serious study of the renewal processes is possible without using the strong tool of Markov processes. The modern theory of Markov processes has its origins in the studies by A. A: Markov (1856-1922) of sequences of experiments "connected in a chain" and in the attempts to describe mathematically the physical phenomenon known as Brownian mo tion. Later, many generalizations (in fact all kinds of weakenings of the Markov property) of Markov type stochastic processes were proposed. Some of them have led to new classes of stochastic processes and useful applications. Let us mention some of them: systems with complete connections [90, 91, 45, 86]; K-dependent Markov processes [44]; semi-Markov processes, and so forth. The semi-Markov processes generalize the renewal processes as well as the Markov jump processes and have numerous applications, especially in relia bility.

Semi-Markov Models

Jacques Janssen
Semi Markov Models Book PDF

Author : Jacques Janssen
Publisher : Springer Science & Business Media
Page : 572 pages
File Size : 46,5 Mb
Release : 2013-11-11
Category : Mathematics
ISBN : 9781489905741

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Semi-Markov Models by Jacques Janssen Pdf

This book is the result of the International Symposium on Semi Markov Processes and their Applications held on June 4-7, 1984 at the Universite Libre de Bruxelles with the help of the FNRS (Fonds National de la Recherche Scientifique, Belgium), the Ministere de l'Education Nationale (Belgium) and the Bernoulli Society for Mathe matical Statistics and Probability. This international meeting was planned to make a state of the art for the area of semi-Markov theory and its applications, to bring together researchers in this field and to create a platform for open and thorough discussion. Main themes of the Symposium are the first ten sections of this book. The last section presented here gives an exhaustive biblio graphy on semi-Markov processes for the last ten years. Papers selected for this book are all invited papers and in addition some contributed papers retained after strong refereeing. Sections are I. Markov additive processes and regenerative systems II. Semi-Markov decision processes III. Algorithmic and computer-oriented approach IV. Semi-Markov models in economy and insurance V. Semi-Markov processes and reliability theory VI. Simulation and statistics for semi-Markov processes VII. Semi-Markov processes and queueing theory VIII. Branching IX. Applications in medicine X. Applications in other fields v PREFACE XI. A second bibliography on semi-Markov processes It is interesting to quote that sections IV to X represent a good sample of the main applications of semi-Markov processes i. e.

Semi-Markov Processes

Franciszek Grabski
Semi Markov Processes Book PDF

Author : Franciszek Grabski
Publisher : Elsevier
Page : 270 pages
File Size : 51,8 Mb
Release : 2014-09-25
Category : Mathematics
ISBN : 9780128006597

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Semi-Markov Processes by Franciszek Grabski Pdf

Semi-Markov Processes: Applications in System Reliability and Maintenance is a modern view of discrete state space and continuous time semi-Markov processes and their applications in reliability and maintenance. The book explains how to construct semi-Markov models and discusses the different reliability parameters and characteristics that can be obtained from those models. The book is a useful resource for mathematicians, engineering practitioners, and PhD and MSc students who want to understand the basic concepts and results of semi-Markov process theory. Clearly defines the properties and theorems from discrete state Semi-Markov Process (SMP) theory Describes the method behind constructing Semi-Markov (SM) models and SM decision models in the field of reliability and maintenance Provides numerous individual versions of SM models, including the most recent and their impact on system reliability and maintenance

Nonlinearly Perturbed Semi-Markov Processes

Dmitrii Silvestrov,Sergei Silvestrov
Nonlinearly Perturbed Semi Markov Processes Book PDF

Author : Dmitrii Silvestrov,Sergei Silvestrov
Publisher : Springer
Page : 143 pages
File Size : 52,5 Mb
Release : 2017-09-06
Category : Mathematics
ISBN : 9783319609881

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Nonlinearly Perturbed Semi-Markov Processes by Dmitrii Silvestrov,Sergei Silvestrov Pdf

The book presents new methods of asymptotic analysis for nonlinearly perturbed semi-Markov processes with a finite phase space. These methods are based on special time-space screening procedures for sequential phase space reduction of semi-Markov processes combined with the systematical use of operational calculus for Laurent asymptotic expansions. Effective recurrent algorithms are composed for getting asymptotic expansions, without and with explicit upper bounds for remainders, for power moments of hitting times, stationary and conditional quasi-stationary distributions for nonlinearly perturbed semi-Markov processes. These results are illustrated by asymptotic expansions for birth-death-type semi-Markov processes, which play an important role in various applications. The book will be a useful contribution to the continuing intensive studies in the area. It is an essential reference for theoretical and applied researchers in the field of stochastic processes and their applications that will contribute to continuing extensive studies in the area and remain relevant for years to come.

Discrete-Time Semi-Markov Random Evolutions and Their Applications

Nikolaos Limnios,Anatoliy Swishchuk
Discrete Time Semi Markov Random Evolutions and Their Applications Book PDF

Author : Nikolaos Limnios,Anatoliy Swishchuk
Publisher : Springer Nature
Page : 206 pages
File Size : 50,6 Mb
Release : 2023-07-24
Category : Mathematics
ISBN : 9783031334290

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Discrete-Time Semi-Markov Random Evolutions and Their Applications by Nikolaos Limnios,Anatoliy Swishchuk Pdf

This book extends the theory and applications of random evolutions to semi-Markov random media in discrete time, essentially focusing on semi-Markov chains as switching or driving processes. After giving the definitions of discrete-time semi-Markov chains and random evolutions, it presents the asymptotic theory in a functional setting, including weak convergence results in the series scheme, and their extensions in some additional directions, including reduced random media, controlled processes, and optimal stopping. Finally, applications of discrete-time semi-Markov random evolutions in epidemiology and financial mathematics are discussed. This book will be of interest to researchers and graduate students in applied mathematics and statistics, and other disciplines, including engineering, epidemiology, finance and economics, who are concerned with stochastic models of systems.

Semi-Markov Chains and Hidden Semi-Markov Models toward Applications

Vlad Stefan Barbu,Nikolaos Limnios
Semi Markov Chains and Hidden Semi Markov Models toward Applications Book PDF

Author : Vlad Stefan Barbu,Nikolaos Limnios
Publisher : Springer Science & Business Media
Page : 233 pages
File Size : 55,9 Mb
Release : 2009-01-07
Category : Mathematics
ISBN : 9780387731735

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Semi-Markov Chains and Hidden Semi-Markov Models toward Applications by Vlad Stefan Barbu,Nikolaos Limnios Pdf

Here is a work that adds much to the sum of our knowledge in a key area of science today. It is concerned with the estimation of discrete-time semi-Markov and hidden semi-Markov processes. A unique feature of the book is the use of discrete time, especially useful in some specific applications where the time scale is intrinsically discrete. The models presented in the book are specifically adapted to reliability studies and DNA analysis. The book is mainly intended for applied probabilists and statisticians interested in semi-Markov chains theory, reliability and DNA analysis, and for theoretical oriented reliability and bioinformatics engineers.

Semi-Markov Random Evolutions

Vladimir S. Korolyuk,Anatoly Swishchuk
Semi Markov Random Evolutions Book PDF

Author : Vladimir S. Korolyuk,Anatoly Swishchuk
Publisher : Springer Science & Business Media
Page : 315 pages
File Size : 49,6 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9789401110105

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Semi-Markov Random Evolutions by Vladimir S. Korolyuk,Anatoly Swishchuk Pdf

The evolution of systems in random media is a broad and fruitful field for the applica tions of different mathematical methods and theories. This evolution can be character ized by a semigroup property. In the abstract form, this property is given by a semigroup of operators in a normed vector (Banach) space. In the practically boundless variety of mathematical models of the evolutionary systems, we have chosen the semi-Markov ran dom evolutions as an object of our consideration. The definition of the evolutions of this type is based on rather simple initial assumptions. The random medium is described by the Markov renewal processes or by the semi Markov processes. The local characteristics of the system depend on the state of the ran dom medium. At the same time, the evolution of the system does not affect the medium. Hence, the semi-Markov random evolutions are described by two processes, namely, by the switching Markov renewal process, which describes the changes of the state of the external random medium, and by the switched process, i.e., by the semigroup of oper ators describing the evolution of the system in the semi-Markov random medium.

Markov Processes for Stochastic Modeling

Oliver Ibe
Markov Processes for Stochastic Modeling Book PDF

Author : Oliver Ibe
Publisher : Newnes
Page : 515 pages
File Size : 40,6 Mb
Release : 2013-05-22
Category : Mathematics
ISBN : 9780124078390

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Markov Processes for Stochastic Modeling by Oliver Ibe Pdf

Markov processes are processes that have limited memory. In particular, their dependence on the past is only through the previous state. They are used to model the behavior of many systems including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. Covering a wide range of areas of application of Markov processes, this second edition is revised to highlight the most important aspects as well as the most recent trends and applications of Markov processes. The author spent over 16 years in the industry before returning to academia, and he has applied many of the principles covered in this book in multiple research projects. Therefore, this is an applications-oriented book that also includes enough theory to provide a solid ground in the subject for the reader. Presents both the theory and applications of the different aspects of Markov processes Includes numerous solved examples as well as detailed diagrams that make it easier to understand the principle being presented Discusses different applications of hidden Markov models, such as DNA sequence analysis and speech analysis.

Continuous Time Markov Processes

Thomas Milton Liggett
Continuous Time Markov Processes Book PDF

Author : Thomas Milton Liggett
Publisher : American Mathematical Soc.
Page : 290 pages
File Size : 47,5 Mb
Release : 2010
Category : Markov processes
ISBN : 9780821849491

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Continuous Time Markov Processes by Thomas Milton Liggett Pdf

Markov processes are among the most important stochastic processes for both theory and applications. This book develops the general theory of these processes, and applies this theory to various special examples.

Markov Decision Processes with Their Applications

Qiying Hu,Wuyi Yue
Markov Decision Processes with Their Applications Book PDF

Author : Qiying Hu,Wuyi Yue
Publisher : Springer Science & Business Media
Page : 305 pages
File Size : 52,8 Mb
Release : 2007-09-14
Category : Business & Economics
ISBN : 9780387369518

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Markov Decision Processes with Their Applications by Qiying Hu,Wuyi Yue Pdf

Put together by two top researchers in the Far East, this text examines Markov Decision Processes - also called stochastic dynamic programming - and their applications in the optimal control of discrete event systems, optimal replacement, and optimal allocations in sequential online auctions. This dynamic new book offers fresh applications of MDPs in areas such as the control of discrete event systems and the optimal allocations in sequential online auctions.

Semi-Markov Models and Applications

Jacques Janssen,Nikolaos Limnios
Semi Markov Models and Applications Book PDF

Author : Jacques Janssen,Nikolaos Limnios
Publisher : Springer
Page : 404 pages
File Size : 47,9 Mb
Release : 1999-10-31
Category : Mathematics
ISBN : 0792359631

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Semi-Markov Models and Applications by Jacques Janssen,Nikolaos Limnios Pdf

This book presents a selection of papers presented to the Second Inter national Symposium on Semi-Markov Models: Theory and Applications held in Compiegne (France) in December 1998. This international meeting had the same aim as the first one held in Brussels in 1984 : to make, fourteen years later, the state of the art in the field of semi-Markov processes and their applications, bring together researchers in this field and also to stimulate fruitful discussions. The set of the subjects of the papers presented in Compiegne has a lot of similarities with the preceding Symposium; this shows that the main fields of semi-Markov processes are now well established particularly for basic applications in Reliability and Maintenance, Biomedicine, Queue ing, Control processes and production. A growing field is the one of insurance and finance but this is not really a surprising fact as the problem of pricing derivative products represents now a crucial problem in economics and finance. For example, stochastic models can be applied to financial and insur ance models as we have to evaluate the uncertainty of the future market behavior in order, firstly, to propose different measures for important risks such as the interest risk, the risk of default or the risk of catas trophe and secondly, to describe how to act in order to optimize the situation in time. Recently, the concept of VaR (Value at Risk) was "discovered" in portfolio theory enlarging so the fundamental model of Markowitz.

Introduction to Ergodic rates for Markov chains and processes

Kulik, Alexei
Introduction to Ergodic rates for Markov chains and processes Book PDF

Author : Kulik, Alexei
Publisher : Universitätsverlag Potsdam
Page : 138 pages
File Size : 54,8 Mb
Release : 2015-10-20
Category : Mathematics
ISBN : 9783869563381

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Introduction to Ergodic rates for Markov chains and processes by Kulik, Alexei Pdf

The present lecture notes aim for an introduction to the ergodic behaviour of Markov Processes and addresses graduate students, post-graduate students and interested readers. Different tools and methods for the study of upper bounds on uniform and weak ergodic rates of Markov Processes are introduced. These techniques are then applied to study limit theorems for functionals of Markov processes. This lecture course originates in two mini courses held at University of Potsdam, Technical University of Berlin and Humboldt University in spring 2013 and Ritsumameikan University in summer 2013. Alexei Kulik, Doctor of Sciences, is a Leading researcher at the Institute of Mathematics of Ukrainian National Academy of Sciences.

Dependability for Systems with a Partitioned State Space

Attila Csenki
Dependability for Systems with a Partitioned State Space Book PDF

Author : Attila Csenki
Publisher : Springer Science & Business Media
Page : 252 pages
File Size : 51,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461226741

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Dependability for Systems with a Partitioned State Space by Attila Csenki Pdf

Probabilistic models of technical systems are studied here whose finite state space is partitioned into two or more subsets. The systems considered are such that each of those subsets of the state space will correspond to a certain performance level of the system. The crudest approach differentiates between 'working' and 'failed' system states only. Another, more sophisticated, approach will differentiate between the various levels of redundancy provided by the system. The dependability characteristics examined here are random variables associated with the state space's partitioned structure; some typical ones are as follows • The sequence of the lengths of the system's working periods; • The sequences of the times spent by the system at the various performance levels; • The cumulative time spent by the system in the set of working states during the first m working periods; • The total cumulative 'up' time of the system until final breakdown; • The number of repair events during a fmite time interval; • The number of repair events until final system breakdown; • Any combination of the above. These dependability characteristics will be discussed within the Markov and semi-Markov frameworks.

Applied Semi-Markov Processes

Jacques Janssen,Raimondo Manca
Applied Semi Markov Processes Book PDF

Author : Jacques Janssen,Raimondo Manca
Publisher : Springer
Page : 0 pages
File Size : 40,9 Mb
Release : 2010-10-29
Category : Mathematics
ISBN : 144193992X

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Applied Semi-Markov Processes by Jacques Janssen,Raimondo Manca Pdf

Aims to give to the reader the tools necessary to apply semi-Markov processes in real-life problems. The book is self-contained and, starting from a low level of probability concepts, gradually brings the reader to a deep knowledge of semi-Markov processes. Presents homogeneous and non-homogeneous semi-Markov processes, as well as Markov and semi-Markov rewards processes. The concepts are fundamental for many applications, but they are not as thoroughly presented in other books on the subject as they are here.