Exponential and gamma form for tail expansions of first-passage distributions in semi-markov processes

Abstract

AbstractWe consider residue expansions for survival and density/mass functions of first-passage distributions in finite-state semi-Markov processes (SMPs) in continuous and integer time. Conditions are given which guarantee that the residue expansions for these functions have a dominant exponential/geometric term. The key condition assumes that the relevant states for first passage contain an irreducible class, thus ensuring the same sort of dominant exponential/geometric terms as one gets for phase-type distributions in Markov processes. Essentially, the presence of an irreducible class along with some other conditions ensures that the boundary singularity b for the moment generating function (MGF) of the first-passage-time distribution is a simple pole. In the continuous-time setting we prove that b is a dominant pole, in that the MGF has no other pole on the vertical line $\{\text{Re}(s)=b\}.$ In integer time we prove that b is dominant if all holding-time mass functions for the SMP are aperiodic and non-degenerate. The expansions and pole characterisations address first passage to a single new state or a subset of new states, and first return to the starting state. Numerical examples demonstrate that the residue expansions are considerably more accurate than saddlepoint approximations and can provide a substitute for exact computation above the 75th percentile.