Continuous Semi-Markov Processes (Applied Stochastic Methods)

✍ Scribed by Boris Harlamov

• Publisher: Wiley-ISTE
• Year: 2008
• Tongue: English
• Leaves: 377
• Series: Applied Stochastic Methods
• Edition: 1
• Category: Library

✦ Synopsis

This title considers the special of random processes known as semi-Markov processes. These possess the Markov property with respect to any intrinsic Markov time such as the first exit time from an open set or a finite iteration of these times. The class of semi-Markov processes includes strong Markov processes, Lévy and Smith stepped semi-Markov processes, and some other subclasses. Extensive coverage is devoted to non-Markovian semi-Markov processes with continuous trajectories and, in particular, to semi-Markov diffusion processes. Readers looking to enrich their knowledge on Markov processes will find this book a valuable resource.