Related papers: Hitting Times in Markov Chains with Restart and th…
We present a new algorithm for the statistical model checking of Markov chains with respect to unbounded temporal properties, such as reachability and full linear temporal logic. The main idea is that we monitor each simulation run on the…
Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…
The concepts of probability, statistics and stochastic theory are being successfully used in structural engineering. Markov Chain modelling is a simple stochastic process model that has found its application in both describing stochastic…
The estimation of absorption time distributions of Markov jump processes is an important task in various branches of statistics and applied probability. While the time-homogeneous case is classic, the time-inhomogeneous case has recently…
Optimal sensor scheduling with applications to networked estimation and control systems is considered. We model sensor measurement and transmission instances using jumps between states of a continuous-time Markov chain. We introduce a cost…
When the initial and transition probabilities of a finite Markov chain in discrete time are not well known, we should perform a sensitivity analysis. This is done by considering as basic uncertainty models the so-called credal sets that…
This paper examines a discrete-time queuing system with applications to telecommunications traffic. The arrival process is a particular Markov modulated process which belongs to the class of discrete batched Markovian arrival processes. The…
We study random walk on complex networks with transition probabilities which depend on the current and previously visited nodes. By using an absorbing Markov chain we derive an exact expression for the mean first passage time between pairs…
The preparation of the stationary distribution of irreducible, time-reversible Markov chains is a fundamental building block in many heuristic approaches to algorithmically hard problems. It has been conjectured that quantum analogs of…
We study a model of a polling system, that is, a collection of $d$ queues with a single server that switches from queue to queue. The service time distribution and arrival rates change randomly every time a queue is emptied. This model is…
We give a closed form of the discrete-time evolution of a recombination transformation in population genetics. This decomposition allows to define a Markov chain in a natural way. We describe the geometric decay rate to the limit…
In this paper we consider the problem of computing the stationary distribution of nearly completely decomposable Markov processes, a well-established area in the classical theory of Markov processes with broad applications in the design,…
This paper investigates a series of optimization problems for one-counter Markov decision processes (MDPs) and integer-weighted MDPs with finite state space. Specifically, it considers problems addressing termination probabilities and…
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…
Assuming that one-step transition kernel of a discrete time, time-homogenous Markov chain model is parameterized by a parameter $\theta\in \boldsymbol \Theta$, we derive a recursive (in time) construction of confidence regions for the…
Imprecise continuous-time Markov chains are a robust type of continuous-time Markov chains that allow for partially specified time-dependent parameters. Computing inferences for them requires the solution of a non-linear differential…
Randomized algorithms sometimes employ a restart strategy. After a certain number of steps, the current computation is aborted and restarted with a new, independent random seed. In some cases, this results in an improved overall expected…
In this work, we consider the case where a source with bursty traffic can adjust the transmission duration in order to increase the reliability. The source is equipped with a queue in order to store the arriving packets. We model the system…
This paper concentrates on the minimal hitting probability of continuous-time controlled Markov systems (CTCMSs) with countable state and finite admissible action spaces. The existence of an optimal policy is first proved. In particular,…
In this paper, we consider two time-inhomogeneous Markov chains $X^{(l)}_t$, $l\in\{1,2\}$, with discrete time on a general state space. We assume the existence of some renewal set $C$ and investigate the time of simultaneous renewal, that…