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.
Descriptors:
Subject Categories:
- Statistics and Probability