A note on the computation of Markovian systems

✍ Scribed by N. Limnios

• Publisher: Elsevier Science
• Year: 1988
• Tongue: English
• Weight: 180 KB
• Volume: 23
• Category: Article
• ISSN: 0951-8320
• DOI: 10.1016/0951-8320(88)90107-x

✦ Synopsis

In this paper we propose a new method for the numerical resolution of the Kolmogorov equations for continuous time Markov chains. The numerical treatment required is very simple as for the discrete time Markov chain. An accurate error analysis is derived by Shur's theorem.