L´ evy processes and continuous-time Markov chains
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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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
... a Markov chain that has the model of interest as its stationary distribu- ...the Markov chain, applied to some function, S, defined on the sample space and evaluated at the data, x, we obtain an unbiased ...
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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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Bandwidth selection for continuous time Markov processes
... of continuous-time Markov models, the ap- propriate choice of window width is a largely unresolved ...in continuous time and conditional moment estimation in discrete time impose ...
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Time-Bounded Reachability in Continuous-Time Markov Decision Processes
... sojourn time in any state of the model to be identically distributed — is hard to ...on time-abstract schedulers, which are strictly less powerful than time-dependent ones ...fully time- and ...
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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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Formalization of Continuous Time Markov Chains with Applications in Queueing Theory
... ducting Markov chain based analysis in ...Discrete-Time Markov Chain (DTMC) and the verification of the most important properties, in which the concepts of reversibility and stationary properties ...
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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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Applying Mean-Field Approximation to Continuous Time Markov Chains
... is time stamped and the base stations are the sources for fresh ...the time period between 8:00am till midnight, each ...different time points and for different ...
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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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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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Realizable strategies in continuous-time Markov decision processes
... In the case of discounted model, realizable solutions in the form of switching and randomized strategies were constructed in [8, 9]. But if the discount factor α is zero, standard randomized strategies are not sufficient ...
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Variance Optimization for Continuous Time Markov Decision Processes
... in continuous-time Markov decision process ...traditional Markov decision process, the cost function in the variance criterion will be affected by future ...
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Reachability in continuous-time Markov reward decision processes
... MDPs – also considered as turn-based 1 1 2 -player stochastic games – con- sist of decision epochs, states, actions, and transition probabilities. On en- tering a state, an action, α, say, is nondeterministically ...
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Multigrid methods for highdimensional, tensor structured continuous time Markov chains
... 8.3.1 Implementation details In the following we want to test the tensorized bootstrap approach described in section 8.2. In our experiments we name this method Boot. For comparison, we also test the tensorized multigrid ...
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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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Policy learning in Continuous-Time Markov Decision Processes using Gaussian Processes
... Abstract Continuous-time Markov decision processes provide a very powerful mathemat- ical framework to solve policy-making problems in a wide range of applications, ranging from the control of ...
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Randomized and Relaxed Strategies in Continuous-Time Markov Decision Processes
... ALEXEY PIUNOVSKIY † Abstract. One of the goals of this article is to describe a wide class of control strategies, which includes the traditional relaxed strategies, as well as the so called randomized strategies which ...
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