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A Note on Approximating Mean Occupation Times of 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 Research University of California, Berkeley, California 94720
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Extract

In [1] an approach to approximate the transition probabilities and mean occupation times of a continuous-time Markov chain is presented. For the chain under consideration, let Pij(t) and Tij(t) denote respectively the probability that it is in state j at time t, and the total time spent in j by time t, in both cases conditional on the chain starting in state i. Also, let Y1,…, Yn be independent exponential random variables each with rate λ = n/t, which are also independent of the Markov chain.

Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 2 , Issue 2 , April 1988 , pp. 267 - 268
Copyright
Copyright © Cambridge University Press 1988

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