Abstract
This paper presents a method of approximating the state probabilities for a continuous-time Markov chain. This is done by constructing a right-shift process and then solving the Kolmogorov system of differential equations recursively. By solving a finite number of the differential equations, it is possible to obtain the state probabilities to any degree of accuracy over any finite time interval.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
2 articles.
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