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Moments' analysis in homogeneous Markov reward models

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Publication:1041298
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DOI10.1007/s11009-008-9075-5zbMath1187.60055OpenAlexW2009083477MaRDI QIDQ1041298

Guillaume Dujardin, Francois Castella, Bruno Sericola

Publication date: 2 December 2009

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9075-5

zbMATH Keywords

uniformizationMarkov modelsperformabilityaccumulated reward


Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Continuous-time Markov processes on discrete state spaces (60J27)


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Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed



Cites Work

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  • Analysis of inhomogeneous Markov reward models
  • An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance
  • Calculation of the Poisson cumulative distribution function (reliability applications)
  • On Evaluating the Performability of Degradable Computing Systems
  • An algorithm to calculate transient distributions of cumulative rate and impulse based reward
  • Performability analysis: a new algorithm
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