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A fundamental matrix for regular semi-Markov processes

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  • Fygenson, Mendel

Abstract

We extend the concept of the "fundamental matrix" to semi-Markov processes and derive various moment formulae and limit theorems (including a central limit theorem) in terms of this matrix. The practical advantage of this approach is its use of elementary matrix operations which are accessible to many research workers and easily implemented on a computer.

Suggested Citation

  • Fygenson, Mendel, 1989. "A fundamental matrix for regular semi-Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 32(1), pages 151-160, June.
    • Handle: RePEc:eee:spapps:v:32:y:1989:i:1:p:151-160
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    Cited by:

    1. Zhang, Xuan & Hou, Zhenting, 2012. "The first-passage times of phase semi-Markov processes," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 40-48.

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