Sojourn times with finite time-horizon in finite semi-markov processes

1993 ◽  
Vol 9 (3) ◽  
pp. 251-265 ◽  
Author(s):  
Attila Csenki
2020 ◽  
Vol 57 (4) ◽  
pp. 1088-1110
Author(s):  
Edward Hoyle ◽  
Levent Ali Menguturk

AbstractWe define a new family of multivariate stochastic processes over a finite time horizon that we call generalised Liouville processes (GLPs). GLPs are Markov processes constructed by splitting Lévy random bridges into non-overlapping subprocesses via time changes. We show that the terminal values and the increments of GLPs have generalised multivariate Liouville distributions, justifying their name. We provide various other properties of GLPs and some examples.


Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1466
Author(s):  
Beatris Adriana Escobedo-Trujillo ◽  
José Daniel López-Barrientos ◽  
Javier Garrido-Meléndez

This work presents a study of a finite-time horizon stochastic control problem with restrictions on both the reward and the cost functions. To this end, it uses standard dynamic programming techniques, and an extension of the classic Lagrange multipliers approach. The coefficients considered here are supposed to be unbounded, and the obtained strategies are of non-stationary closed-loop type. The driving thread of the paper is a sequence of examples on a pollution accumulation model, which is used for the purpose of showing three algorithms for the purpose of replicating the results. There, the reader can find a result on the interchangeability of limits in a Dirichlet problem.


1978 ◽  
Vol 15 (3) ◽  
pp. 531-542 ◽  
Author(s):  
Izzet Sahin

This paper is concerned with the characterization of the cumulative pensionable service over an individual's working life that is made up of random lengths of service in different employments in a given industry, under partial coverage, transferability, and a uniform vesting rule. This characterization uses some results that are developed in the paper involving a functional and cumulative constrained sojourn times (constrained in the sense that if a sojourn time is less than a given constant it is not counted) in semi-Markov processes.


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