Entropy Maximization for Markov and Semi-Markov Processes

Valerie Girardin ()
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Valerie Girardin: Université de Caen

Methodology and Computing in Applied Probability, 2004, vol. 6, issue 1, 109-127

Abstract: Abstract The literature about maximum of entropy for Markov processes deals mainly with discrete-time Markov chains. Very few papers dealing with continuous-time jump Markov processes exist and none dealing with semi-Markov processes. It is the aim of this paper to contribute to fill this lack. We recall the basics concerning entropy for Markov and semi-Markov processes and we study several problems to give an overview of the possible directions of use of maximum entropy in connection with these processes. Numeric illustrations are presented, in particular in application to reliability.

Keywords: maximum of entropy; jump Markov processes; Markov chains; reliability; semi-Markov processes (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1023/B:MCAP.0000012418.88825.18

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