Exact formulas for the moments of the first passage time of reward processes
Let {Zρ(t), t ≥ 0} be a reward process based on a semi-Markov process {J (t), t ≥ 0} and a reward function ρ. Let Tz be the first passage time of {Zρ(t), t ≥ 0} from Zρ(0) = 0 to a prespecified level z. In this article we provide the Laplace transform of the E[T k z ] and obtain the exact formulas...
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2005-06-01
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| Series: | Revstat Statistical Journal |
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| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/17 |