نتایج جستجو برای: continuous time markov chain

تعداد نتایج: 2344467  

2009
Ramon van Handel R. VAN HANDEL

We consider a discrete time hidden Markov model where the signal is a stationary Markov chain. When conditioned on the observations, the signal is a Markov chain in a random environment under the conditional measure. It is shown that this conditional signal is weakly ergodic when the signal is ergodic and the observations are nondegenerate. This permits a delicate exchange of the intersection a...

Journal: :Computers & OR 2003
Esmail Mohebbi

This paper presents an analytical model for computing the stationary distribution of the on-hand inventory in a continuous-review inventory system with compound Poisson demand, Erlang distributed lead time, and lost sales, where the supplier can assume one of the two “available” and “unavailable” states at any point in time according to a continuous-time Markov chain. Exact analytical expressio...

Journal: :shiraz journal of system management 0

this paper is devoted to the study of determining optimal process mean in system production with the two markets for the sale of goods. in this paper, we developed an absorbing markov chain model in production systems where all items are inspected %100 for conformance with their specification limits. when the value of the quality characteristic of an item falls below a lower limit, the item is ...

Journal: :Proceedings of the American Mathematical Society 1964

Journal: :Mathematical and Computer Modelling 1993

2015
Murat Gül Salih Çelebioğlu

First passage time in Markov chains is defined as the first time that a chain passes a specified state or lumped states. This state or lumped states may indicate first passage time of an interesting, rare and amazing event. In this study, obtaining distribution of the first passage time relating to lumped states which are constructed by gathering the states through lumping method for a irreduci...

Journal: :Mathematics 2021

We address the problem of finding a natural continuous time Markov type process—in open populations—that best captures information provided by an chain in discrete which is usually sole possible observation from data. Given chain, we single out two main approaches: In first one, consider calibration procedure process using transition matrix and show that, when embeddable has optimal solutions. ...

Journal: :Journal of Industrial and Management Optimization 2023

<p style='text-indent:20px;'>This paper investigates the pricing of European-style lookback options when price dynamics underlying risky asset are assumed to follow a Markov-modulated Geometric Brownian motion; that is, appreciation rate and volatility depend on states economy described by continuous-time Markov chain process. We derive an exact, explicit closed-form solution for in two-s...

‎In the present paper we investigate the $L_1$-weak ergodicity of‎ ‎nonhomogeneous continuous-time Markov processes with general state‎ ‎spaces‎. ‎We provide a necessary and sufficient condition for such‎ ‎processes to satisfy the $L_1$-weak ergodicity‎. ‎Moreover‎, ‎we apply‎ ‎the obtained results to establish $L_1$-weak ergodicity of quadratic‎ ‎stochastic processes‎.

Journal: :SIAM J. Numerical Analysis 2012
David F. Anderson

We present an efficient finite difference method for the computation of parameter sensitivities that is applicable to a wide class of continuous time Markov chain models. The estimator for the method is constructed by coupling the perturbed and nominal processes in a natural manner, and the analysis proceeds by utilizing a martingale representation for the coupled processes. The variance of the...

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