Accession Number:

ADA169253

Title:

Recursive Moment Formulas for Semi-Markov Processes.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CA DEPT OF OPERATIONS RESEARCH

Personal Author(s):

Report Date:

1986-04-01

Pagination or Media Count:

30.0

Abstract:

Let X Xtt or 0 be an irreducible semi-markov process SMP on countable state space E. For fixed Z an element of E, let Tz inft or 0Xt-not z, Xtz and set Yf integral from 0 to T sub z of fXtdt, where f E approaches R is an arbitrary function. Our objective is to study the mixed moments of the form E pi from i 1 to r of Yf sub i, when f sub i E approaches R is an arbitrary function, for i 1,2,...r, and r is a positive integer. This quantity is especially relevant to the regenerative simulation. Also, several useful variations and generalizations are introduced and studied. Keywords Semi-Markov processes regenerative simulation recursive moments.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE