A fundamental matrix for regular semi-Markov processes

Mendel Fygenson

Stochastic Processes and their Applications, 1989, vol. 32, issue 1, 151-160

Abstract: We extend the concept of the "fundamental matrix" to semi-Markov processes and derive various moment formulae and limit theorems (including a central limit theorem) in terms of this matrix. The practical advantage of this approach is its use of elementary matrix operations which are accessible to many research workers and easily implemented on a computer.

Keywords: fundamental; matrix; semi-Markov; processes; Markov; chains (search for similar items in EconPapers)
Date: 1989
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