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A Diffusion Approximation for Markov Renewal Processes
Published online by Cambridge University Press: 14 July 2016
Abstract
For a Markov renewal process where the time parameter is discrete, we present a novel method for calculating the asymptotic variance. Our approach is based on the key renewal theorem and is applicable even when the state space of the Markov chain is countably infinite.
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- Research Article
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- Copyright © Applied Probability Trust 2007