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Approximating Transition Probabilities and Mean Occupation Times in Continuous-Time Markov Chains

Published online by Cambridge University Press:  27 July 2009

Sheldon M. Ross
Sheldon M. Ross
Affiliation:
Department of Industrial Engineering and Operations ResearchUniversity of California, BerkeleyBerkeley, California 94707
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Abstract

In this paper we propose a new approach for estimating the transition probabilities and mean occupation times of continuous-time Markov chains. Our approach is to approximate the probability of being in a state (or the mean time already spent in a state) at time t by the probability of being in that state (or the mean time already spent in that state) at a random time that is gamma distributed with mean t.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 1 , Issue 3 , July 1987 , pp. 251 - 264
Copyright
Copyright © Cambridge University Press 1987

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References

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