Continuous Semi-Markov Processes

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Wiley, Jan 6, 2010 - Mathematics - 448 pages
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This title considers the special of random processes known as semi-Markov processes. These possess the Markov property with respect to any intrinsic Markov time such as the first exit time from an open set or a finite iteration of these times.
The class of semi-Markov processes includes strong Markov processes, LÚvy and Smith stepped semi-Markov processes, and some other subclasses. Extensive coverage is devoted to non-Markovian semi-Markov processes with continuous trajectories and, in particular, to semi-Markov diffusion processes. Readers looking to enrich their knowledge on Markov processes will find this book a valuable resource.

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About the author (2010)

Boris Harlamov is Professor of Applied Mathematics and Informatics in the Department of Architecture and Building at the State University, St. Petersburg, Russia.

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