Communications in Statistics - Simulation and Computation · 1984 · 28 citations · 1 references
Mathematical ProgrammingEngineeringHidden Markov ModelStochastic ProcessesDiscrete Dynamical SystemTransition KernelMarkov KernelNon-homogeneous Semi-markov ProcessesStochastic Dynamical SystemStochastic AnalysisProbability TheoryComputer ScienceIntegral EquationProcess EvolutionStochastic Differential EquationMarkov Decision Process
De Dominicis 1979 suggested a generalization of the notion of semi-Markov process by introducing a suitable definition of the transition kernel of the process and proved a theorm on the existence and uniqueness of the solution of integral equation describing the process evolution. In this paper a quite general algorithm useful for the resolution of the evolution equation is performed; in addition an application to an actuarial problem is presented.
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