Uniformization for nonhomogeneous Markov chains

Uniformization for nonhomogeneous Markov chains

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Article ID: iaor19931163
Country: Netherlands
Volume: 12
Issue: 5
Start Page Number: 283
End Page Number: 291
Publication Date: Nov 1992
Journal: Operations Research Letters
Authors:
Abstract:

The discrete Poissonian representation for transition probabilities of homogeneous continuous-time Markov chains, known as uniformization or randomization, is extended to time-inhomogeneous chains. For computational purposes a discrete-time approximation is also provided.

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