Central Limit Theorem for Hitting times of Functionals of Markov Jump Processes
نویسندگان
چکیده
A sample of i.i.d. continuous time Markov chains being defined, the sum over each component of a real function of the state is considered. For this functional, a central limit theorem for the first hitting time of a prescribed level is proved. The result extends the classical central limit theorem for order statistics. Various reliability models are presented as examples of applications. Mathematics Subject Classification. 60F05, 60J25, 60K10. Received July 18, 2003. Revised May 24, 2003 and October 13, 2003.
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