Markov modulated Bernoulli process

Markov modulated Bernoulli process

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Article ID: iaor19982956
Country: Germany
Volume: 45
Issue: 3
Start Page Number: 311
End Page Number: 324
Publication Date: Jan 1997
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors:
Abstract:

We consider a Bernoulli process where the success probability changes with respect to a Markov chain. Such a model represents an interesting application of stochastic processes where the parameters are not constants; rather, they are stochastic processes themselves due to their dependence on a randomly changing environment. The model operates in a random environment depicted by a Markov chain so that the probability of success at each trial depends on the state of the environment. We will concentrate, in particular, on applications in reliability theory to motivate our model. The analysis will focus on transient as well as long-term behaviour of various processes involved.

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