Finite Time-Horizon Sojourn Times for Finite Semi-Markov Processes

1994 ◽  
pp. 212-230
Author(s):  
Attila Csenki
Keyword(s):  
Markov Processes ◽  
Finite Time ◽  
Time Horizon ◽  
Sojourn Times ◽  
Finite Time Horizon ◽  
Semi Markov Processes

scholarly journals Generalised liouville processes and their properties

2020 ◽  
Vol 57 (4) ◽  
pp. 1088-1110
Author(s):  
Edward Hoyle ◽  
Levent Ali Menguturk
Keyword(s):  
Stochastic Processes ◽  
Markov Processes ◽  
Finite Time ◽  
Time Horizon ◽  
New Family ◽  
Terminal Values ◽  
Finite Time Horizon ◽  
Time Changes

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.

scholarly journals A Constrained Markovian Diffusion Model for Controlling the Pollution Accumulation

Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1466
Author(s):  
Beatris Adriana Escobedo-Trujillo ◽  
José Daniel López-Barrientos ◽  
Javier Garrido-Meléndez
Keyword(s):  
Dynamic Programming ◽  
Dirichlet Problem ◽  
Stochastic Control ◽  
Finite Time ◽  
Time Horizon ◽  
Closed Loop ◽  
Programming Techniques ◽  
Pollution Accumulation ◽  
Finite Time Horizon ◽  
The Cost

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.

Cumulative constrained sojourn times in semi-Markov processes with an application to pensionable service

1978 ◽  
Vol 15 (3) ◽  
pp. 531-542 ◽  
Author(s):  
Izzet Sahin
Keyword(s):  
Markov Processes ◽  
Sojourn Time ◽  
Working Life ◽  
Partial Coverage ◽  
Sojourn Times ◽  
Semi Markov Processes

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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