A Note on Error Bounds for Approximating Transition Probabilities in Continuous-time Markov Chains
1988 ◽
Vol 2
(4)
◽
pp. 471-474
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Keyword(s):
Recently, Ross [1] proposed an elegant method of approximating transition probabilities and mean occupation times in continuous-time Markov chains based upon recursively inspecting the process at exponential times. The method turned out to be amazingly efficient for the examples investigated. However, no formal rough error bound was provided. Any error bound even though robust is of practical interest in engineering (e.g., for determining truncation criteria or setting up an experiment). This note primarily aims to show that by a simple and standard comparison relation a rough error bound of the method is secured. Also, some alternative approximations are inspected.
1988 ◽
Vol 2
(2)
◽
pp. 267-268
1990 ◽
Vol 22
(01)
◽
pp. 111-128
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1992 ◽
Vol 6
(3)
◽
pp. 413-424
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Keyword(s):
2018 ◽
Vol 46
(4)
◽
pp. 409-413
◽
2020 ◽
Vol E103.A
(11)
◽
pp. 1252-1259
2019 ◽
Vol 81
(8)
◽
pp. 3159-3184
◽
2019 ◽
Vol 57
(1)
◽
pp. 192-217
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Keyword(s):