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A method for approximating the probability functions of a Markov chain

Published online by Cambridge University Press:  14 July 2016

Keith N. Crank
Keith N. Crank*
Affiliation:
Vanderbilt University
*
∗Postal address: Owen Graduate School of Management, Vanderbilt University, Nashville, TN 37203, USA.
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Abstract

This paper presents a method of approximating the state probabilities for a continuous-time Markov chain. This is done by constructing a right-shift process and then solving the Kolmogorov system of differential equations recursively. By solving a finite number of the differential equations, it is possible to obtain the state probabilities to any degree of accuracy over any finite time interval.

Keywords

RIGHT-SHIFT PROCESSKOLMOGOROV DIFFERENTIAL EQUATIONS
Type
Short Communications
Information
Journal of Applied Probability , Volume 25 , Issue 4 , December 1988 , pp. 808 - 814
Copyright
Copyright © Applied Probability Trust 1988 

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