Continuous Time Markov Chains
PARAMETER SYNTHESIS FOR CONTINUOUS-TIME MARKOV CHAINS
... Abstract Continuous-Time Markov Chains (CTMCs) are an important model for any real world system involving stochastic behaviour. They are used for various kinds of safety-related systems. Each ...
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A note on variance bounding for continuous time Markov Chains
... discrete time Markov chains ...to continuous time Markov Chains and it is shown that a reversible continuous time Markov Chain (CTMC) satisfies a ...
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An extension of Peskun ordering to continuous time Markov chains
... resulting time-invariance estimators in this context the extension of Peskun ordering proposed in this paper would be highly ...of continuous time Markov ...space Markov chains ...
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Formalization of Continuous Time Markov Chains with Applications in Queueing Theory
... The main purpose of this thesis was to develop an infrastructure that can be used to perform formal analysis of queueing systems based on CTMCs. Towards this goal, we built upon the available probability theory of HOL4 ...
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Applying Mean-Field Approximation to Continuous Time Markov Chains
... Continuous Time Markov Chains are often used to provide a stochastic se- mantics to process algebras used in performance modelling of computer sys- tems ...a continuous state-space ...
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On the forward algorithm for stopping problems on continuous-time Markov chains
... by continuous time Markov ...the Markov chain, we prove that the value function of an American option is characterized by the limit of this monotone ...
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Bounding inferences for large-scale continuous-time Markov chains : a new approach based on lumping and imprecise Markov chains
... imprecise Markov chains are not only a robust uncertainty model—as they were originally intended to be—but also a useful computational tool for determining bounds on inferences for large-scale homogeneous ...
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Multilevel Monte Carlo for continuous time Markov chains, with applications in biochemical kinetics
... of continuous time Markov chains, and, though they are all only slight variants of each other, they go by different names depending upon the branch of science within which they are being ...
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On a Monotone Dynamic Approach to Optimal Stopping Problems for Continuous-Time Markov Chains
... by continuous time Markov ...the Markov chain, we prove that the value function of an American option is characterized by the limit of this monotone ...
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Multilevel Monte Carlo for continuous time Markov chains, with applications in biochemical kinetics
... of continuous time Markov chains, and, though they are all only slight variants of each other, they go by different names depending upon the branch of science within which they are being ...
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Quantitative model checking of continuous-time Markov chains against timed automata specifications
... Introduction Continuous-time Markov chains ( CTMCs) are one of the most important models in performance and de- pendability ...for time-bounded until-formulae can be approximated ...
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Imprecise continuous-time Markov chains : efficient computational methods with guaranteed error bounds
... Imprecise continuous-time Markov chains are a robust type of continuous-time Markov chains that allow for partially specified time-dependent ...ergodic ...
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Computing inferences for large-scale continuous-time Markov chains by combining lumping with imprecision
... of continuous-time Markov chains (CTMCs), this exponentially increasing number of states has as a consequence that using the model to perform inferences—for the sake of brevity here limited to ...
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Efficient Computation of Renaming Functions for ρ-reversible Discrete and Continuous Time Markov Chains
... ρ-reversible chains, with sizes ranging from 8 to 24 ...larger chains would be interesting for evaluating the compu- tational efficiency, it would be very difficult to synthetically produce large ...
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Fixed point theorems and explicit estimates for convergence rates of continuous time Markov chains
... general continuous time Markov chains, especially when the symmetric condition, coupling condition or stochastically monotone one is not ...of Markov chains with instantaneous ...
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Bayesian inference for continuous time Markov chains
... Both the PMMH1 and the PMMH2 methods seem to give a more accurate estimation of the exact posterior compared to the ABC SMC method. However, the posterior distributions resulting from the PMMH1 and the PMMH2 algorithms ...
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Correlated Continuous Time Markov Chains and Derivatives Pricing
... The aim of the proposed model is to allow practitioners and investors to better understand the impact of market information on the degree of credit and defaults events clustering that determines the price of credit ...
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Applying Mean-field Approximation to Continuous Time Markov Chains
... with time, therefore not only the next state probability at a given time t 0 is of interest, but also the dependency of such probability measure on time the formula is ...
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Analysis of signalling pathways using continuous time Markov chains
... The main advantage of our approach is that using a continuous time stochastic logic and the PRISM model checker, we can perform quantitative analysis such as what is the probability that[r] ...
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Geometric fluid approximation for general continuous-time Markov chains
... a continuous process, which we term the geometric fluid approximation ...a continuous manifold, our approach captures well the average behaviour of the CTMC trajectories, and can be useful to efficiently ...
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