| Article ID: | iaor20052295 |
| Country: | Netherlands |
| Volume: | 26 |
| Issue: | 4 |
| Start Page Number: | 155 |
| End Page Number: | 158 |
| Publication Date: | May 2000 |
| Journal: | Operations Research Letters |
| Authors: | Tijms H.C., Veldman R. |
This note presents a generally applicable discretization method for computing the transient distribution of the cumulative reward in a continuous-time Markov chain. A key feature of the algorithm is an error estimate for speeding up the calculations. The algorithm is easy to program and is numerically stable.