Semi-Markov Graph Dynamics

Reliability analysis of repairable systems using system dynamics modeling and simulation

Repairable standby system’s study and analysis is an important topic in reliability. Analytical techniques become very complicated and unrealistic especially for modern complex systems. There have been attempts in the literature to evolve more realistic techniques using simulation approach for reliability analysis of systems. This paper proposes a hybrid approach called as Markov system ...

Semi-Markov-Based Approach for the Analysis of Open Tandem Networks with Blocking and Truncation

This paper describes an analytical study of open two-node (tandem) network models with blocking and truncation. The study is based on semi-Markov process theory, and network models assume that multiple servers serve each queue. Tasks arrive at the tandem in a Poisson fashion at the rate λ, and the service times at the first and the second node are nonexponentially distributed with means s and s...

Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering

We consider a semi-Markov modulated security market consisting of a riskless asset or bond with constant interest rate and risky asset or stock, whose dynamics follow gemoetric Brownian motion with volatility that depends on semi-Markov process. Two cases for semi-Markov volatilities are studied: local current and local semi-Markov volatilities. Using the martingale characterization of semi-Mar...

Inferring land use dynamics by semi-Markov model

We propose land use dynamics models corresponding to parcels located on the edge of the forest corridor, Madagascar. We use semi-Markov chain to infer the land-use dynamics. In addition to the empirical and maximum likelihood methods, we estimate the semi-Markov kernel by a Bayesian approach. In the latter case, we use Jeffreys’ non-informative prior and we approximate the posterior distributio...

The KTH Visit in Semi-Markov Processes