Author： Ghosh Mrinal Saha Subhamay
Publisher： Taylor & Francis Ltd
ISSN： 0736-2994
Source： Stochastic Analysis and Applications, Vol.29, Iss.3, 2011-05, pp. : 511-522
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Abstract
We study stochastic processes with age-dependent transition rates. A typical example of such a process is a semi-Markov process which is completely determined by the holding time distributions in each state and the transition probabilities of the embedded Markov chain. The process we construct generalizes semi-Markov processes. One important feature of this process is that unlike semi-Markov processes the transition probabilities of this process are age-dependent. Under certain condition we establish the Feller property of the process. Finally, we compute the limiting distribution of the process.
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