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Reward Algorithms for Semi-Markov Processes

Author

Listed:
  • Dmitrii Silvestrov

    (Stockholm University)

  • Raimondo Manca

    (University “La Sapienza”)

Abstract

New algorithms for computing power moments of hitting times and accumulated rewards of hitting type for semi-Markov processes are developed. The algorithms are based on special techniques of sequential phase space reduction and recurrence relations connecting moments of rewards. Applications are discussed as well as possible generalizations of presented results and examples.

Suggested Citation

  • Dmitrii Silvestrov & Raimondo Manca, 2017. "Reward Algorithms for Semi-Markov Processes," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1191-1209, December.
    • Handle: RePEc:spr:metcap:v:19:y:2017:i:4:d:10.1007_s11009-017-9559-2
    DOI: 10.1007/s11009-017-9559-2
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    References listed on IDEAS

    as
    1. D’Amico, Guglielmo & Petroni, Filippo, 2012. "A semi-Markov model for price returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4867-4876.
    2. D’Amico, Guglielmo & Petroni, Filippo & Prattico, Flavio, 2013. "First and second order semi-Markov chains for wind speed modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1194-1201.
    3. Fredrik Stenberg & Raimondo Manca & Dmitrii Silvestrov, 2007. "An Algorithmic Approach to Discrete Time Non-homogeneous Backward Semi-Markov Reward Processes with an Application to Disability Insurance," Methodology and Computing in Applied Probability, Springer, vol. 9(4), pages 497-519, December.
    4. Aleka A. Papadopoulou & George Tsaklidis & Sally McClean & Lalit Garg, 2012. "On the Moments and the Distribution of the Cost of a Semi Markov Model for Healthcare Systems," Methodology and Computing in Applied Probability, Springer, vol. 14(3), pages 717-737, September.
    5. Guglielmo D’Amico & Filippo Petroni & Flavio Prattico, 2015. "Performance Analysis of Second Order Semi-Markov Chains: An Application to Wind Energy Production," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 781-794, September.
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    Cited by:

    1. Vlad Stefan Barbu & Nicolas Vergne, 2019. "Reliability and Survival Analysis for Drifting Markov Models: Modeling and Estimation," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1407-1429, December.

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