On a fundamental identity in the theory of semi-Markov processes
Keyword(s):
A fundamental identity, due to Miller (1961a), (1962a, b) and Kemperman (1961), is generalized to semi-Markov processes. Thus the identity applies to processes defined on a Markov chain with discrete state space and random walks with Markov dependent steps (Section 2). Wald's identity is discussed briefly in Section 3. Section 4 is a study of the maxima of partial sums, and Section 5 of maxima in a semi-Markov process.
1972 ◽
Vol 4
(02)
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pp. 258-270
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Keyword(s):
2004 ◽
Vol 41
(3)
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pp. 746-757
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Keyword(s):
1970 ◽
Vol 7
(02)
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pp. 388-399
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