Approximate uniformization for continuous-time Markov chains with an application to performability analysis

Nico M. van Dijk

Stochastic Processes and their Applications, 1992, vol. 40, issue 2, 339-357

Abstract: An approximate version of the standard uniformization technique is introduced for application to continuous-time Markov chains with unbounded jump rates. This technique is shown to be asymptotically exact and an error bound for the order of its accuracy is provided. An illustrative queueing application is included.

Keywords: continuous-time; Markov; chains; jump; rates; approximate; uniformization; error; bound (search for similar items in EconPapers)
Date: 1992
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