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: | Van Dijk Nico M. |
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.