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A method for approximating the probability functions of a Markov chain
Published online by Cambridge University Press: 14 July 2016
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.
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- Copyright © Applied Probability Trust 1988
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