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Numerical Treatment of Homogeneous Semi-Markov Processes in Transient Case–a Straightforward Approach

Gianfranco Corradi (), Jacques Janssen () and Raimondo Manca ()
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Gianfranco Corradi: Universitá “La Sapienza”
Jacques Janssen: CESIAF
Raimondo Manca: Universitá “La Sapienza”

Methodology and Computing in Applied Probability, 2004, vol. 6, issue 2, 233-246

Abstract: Abstract This paper presents the numerical solution of the process evolution equation of a homogeneous semi-Markov process (HSMP) with a general quadrature method. Furthermore, results that justify this approach proving that the numerical solution tends to the evolution equation of the continuous time HSMP are given. The results obtained generalize classical results on integral equation numerical solutions applying them to particular kinds of integral equation systems. A method for obtaining the discrete time HSMP is shown by applying a very particular quadrature formula for the discretization. Following that, the problem of obtaining the continuous time HSMP from the discrete one is considered. In addition, the discrete time HSMP in matrix form is presented and the fact that the solution of the evolution equation of this process always exists is proved. Afterwards, an algorithm for solving the discrete time HSMP is given. Finally, a simple application of the HSMP is given for a real data social security example.

Keywords: semi-Markov processes; integral equations; numerical methods; algorithms; social insurance (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1023/B:MCAP.0000017715.28371.85

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