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Two-sided Taboo Limits for Markov Processes and Associated Perfect Simulation
Markov processes Quasi-stationary distribution Eigenvalues Perron{Frobenius theory
2015/7/8
In this paper, we study the two-sided taboo limit processes that arise when a Markov chain or process is conditioned on staying in some set A for a long period of time. The taboo limit is time-homogen...
Estimation of Continuous-time Markov Processes Sampled at Random Time Intervals
Method of moments parameter estimation Markov process
2015/7/6
We introduce a family of generalized-method-of-moments estimators of the parameters of a continuous-time Markov process observed at random time intervals. The results include strong consistency, asymp...
Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi-Markov Processes
Central limit theorem Discrete-event stochastic systems Generalized semi-Markov processes
2015/7/6
Because of the fundamental role played by generalized semi-Markov processes (GSMPs) in the modeling and analysis of complex discrete-event stochastic systems, it is important to understand the conditi...
Bounding Stationary Expectations of Markov Processes
Markov processes diff usions stationary bounds Poisson’s equation queueing
2015/7/6
This paper develops a simple and systematic approach for obtaining bounds on stationary expectations of Markov processes. Given a function f which one is interested in evaluating, the main idea is to ...