Adaptive Continuous time Markov Chain Approximation Model to General Jump-Diusions

We propose a non-equidistant Q rate matrix formula and an adaptive numerical algorithm for a continuous time Markov chain to approximate jump-diffusions with affine or non-affine functional specifications. Our approach also accommodates state-dependent jump intensity and jump distribution, a flexibility that is very hard to achieve with other numerical methods. The Kolmogorov-Smirnov test shows that the proposed Markov chain transition density converges to the one given by the likelihood expansion formula as in Ait-Sahalia (2008). We provide numerical examples for European stock option pricing in Black and Scholes (1973), Merton (1976) and Kou (2002).

Longitudinal categorical data analysis: A continuous -time Markov chain approach

In this dissertation, we propose a continuous-time Markov chain model to examine the longitudinal data that have three categories in the outcome variable. The advantage of this model is that it permits a different number of measurements for each subject and the duration between two consecutive time points of measurements can be irregular. Using the maximum likelihood principle, we can estimate the transition probability between two time points. By using the information provided by the independent variables, this model can also estimate the transition probability for each subject. The Monte Carlo simulation method will be used to investigate the goodness of model fitting compared with that obtained from other models. A public health example will be used to demonstrate the application of this method. ^

On the Filtering Problem for Continuous-Time Markov Jump Linear Systems with no Observation of the Markov Chain

We consider in this paper the optimal stationary dynamic linear filtering problem for continuous-time linear systems subject to Markovian jumps in the parameters (LSMJP) and additive noise (Wiener process). It is assumed that only an output of the system is available and therefore the values of the jump parameter are not accessible. It is a well known fact that in this setting the optimal nonlinear filter is infinite dimensional, which makes the linear filtering a natural numerically, treatable choice. The goal is to design a dynamic linear filter such that the closed loop system is mean square stable and minimizes the stationary expected value of the mean square estimation error. It is shown that an explicit analytical solution to this optimal filtering problem is obtained from the stationary solution associated to a certain Riccati equation. It is also shown that the problem can be formulated using a linear matrix inequalities (LMI) approach, which can be extended to consider convex polytopic uncertainties on the parameters of the possible modes of operation of the system and on the transition rate matrix of the Markov process. As far as the authors are aware of this is the first time that this stationary filtering problem (exact and robust versions) for LSMJP with no knowledge of the Markov jump parameters is considered in the literature. Finally, we illustrate the results with an example.

Quasistationarity of continuous-time Markov chains with positive drift

We shall study continuous-time Markov chains on the nonnegative integers which are both irreducible and transient, and which exhibit discernible stationarity before drift to infinity sets in. We will show how this 'quasi' stationary behaviour can be modelled using a limiting conditional distribution: specifically, the limiting state probabilities conditional on not having left 0 for the last time. By way of a dual chain, obtained by killing the original process on last exit from 0, we invoke the theory of quasistationarity for absorbing Markov chains. We prove that the conditioned state probabilities of the original chain are equal to the state probabilities of its dual conditioned on non-absorption, thus allowing us to establish the simultaneous existence and then equivalence, of their limiting conditional distributions. Although a limiting conditional distribution for the dual chain is always a quasistationary distribution in the usual sense, a similar statement is not possible for the original chain.

Integrals for continuous-time Markov chains

This paper presents a method of evaluating the expected value of a path integral for a general Markov chain on a countable state space. We illustrate the method with reference to several models, including birth-death processes and the birth, death and catastrophe process. (C) 2002 Elsevier Science Inc. All rights reserved.

Further results on the relationship between mu-invariant measures and quasi-stationary distributions for absorbing continuous-time Markov chains

This note considers continuous-time Markov chains whose state space consists of an irreducible class, C, and an absorbing state which is accessible from C. The purpose is to provide results on mu-invariant and mu-subinvariant measures where absorption occurs with probability less than one. In particular, the well-known premise that the mu-invariant measure, m, for the transition rates be finite is replaced by the more natural premise that m be finite with respect to the absorption probabilities. The relationship between mu-invariant measures and quasi-stationary distributions is discussed. (C) 2000 Elsevier Science Ltd. All rights reserved.

Path integrals for continuous-time Markov chains

This note presents a method of evaluating the distribution of a path integral for Markov chains on a countable state space.

Subgeometric rates of convergence for a class of continuous-time Markov process

Let (Phi(t))(t is an element of R+) be a Harris ergodic continuous-time Markov process on a general state space, with invariant probability measure pi. We investigate the rates of convergence of the transition function P-t(x, (.)) to pi; specifically, we find conditions under which r(t) vertical bar vertical bar P-t (x, (.)) - pi vertical bar vertical bar -> 0 as t -> infinity, for suitable subgeometric rate functions r(t), where vertical bar vertical bar - vertical bar vertical bar denotes the usual total variation norm for a signed measure. We derive sufficient conditions for the convergence to hold, in terms of the existence of suitable points on which the first hitting time moments are bounded. In particular, for stochastically ordered Markov processes, explicit bounds on subgeometric rates of convergence are obtained. These results are illustrated in several examples.

Uniqueness criteria for continuous-time Markov chains with general transition structures

We derive necessary and sufficient conditions for the existence of bounded or summable solutions to systems of linear equations associated with Markov chains. This substantially extends a famous result of G. E. H. Reuter, which provides a convenient means of checking various uniqueness criteria for birth-death processes. Our result allows chains with much more general transition structures to be accommodated. One application is to give a new proof of an important result of M. F. Chen concerning upwardly skip-free processes. We then use our generalization of Reuter's lemma to prove new results for downwardly skip-free chains, such as the Markov branching process and several of its many generalizations. This permits us to establish uniqueness criteria for several models, including the general birth, death, and catastrophe process, extended branching processes, and asymptotic birth-death processes, the latter being neither upwardly skip-free nor downwardly skip-free.

Modelling data and voice traffic over IP networks using continuous-time Markov models

Common approaches to IP-traffic modelling have featured the use of stochastic models, based on the Markov property, which can be classified into black box and white box models based on the approach used for modelling traffic. White box models, are simple to understand, transparent and have a physical meaning attributed to each of the associated parameters. To exploit this key advantage, this thesis explores the use of simple classic continuous-time Markov models based on a white box approach, to model, not only the network traffic statistics but also the source behaviour with respect to the network and application. The thesis is divided into two parts: The first part focuses on the use of simple Markov and Semi-Markov traffic models, starting from the simplest two-state model moving upwards to n-state models with Poisson and non-Poisson statistics. The thesis then introduces the convenient to use, mathematically derived, Gaussian Markov models which are used to model the measured network IP traffic statistics. As one of the most significant contributions, the thesis establishes the significance of the second-order density statistics as it reveals that, in contrast to first-order density, they carry much more unique information on traffic sources and behaviour. The thesis then exploits the use of Gaussian Markov models to model these unique features and finally shows how the use of simple classic Markov models coupled with use of second-order density statistics provides an excellent tool for capturing maximum traffic detail, which in itself is the essence of good traffic modelling. The second part of the thesis, studies the ON-OFF characteristics of VoIP traffic with reference to accurate measurements of the ON and OFF periods, made from a large multi-lingual database of over 100 hours worth of VoIP call recordings. The impact of the language, prosodic structure and speech rate of the speaker on the statistics of the ON-OFF periods is analysed and relevant conclusions are presented. Finally, an ON-OFF VoIP source model with log-normal transitions is contributed as an ideal candidate to model VoIP traffic and the results of this model are compared with those of previously published work.

Bayesian analysis of correlated evolution of discrete characters by reversible-jump Markov chain Monte Carlo

We describe a Bayesian method for investigating correlated evolution of discrete binary traits on phylogenetic trees. The method fits a continuous-time Markov model to a pair of traits, seeking the best fitting models that describe their joint evolution on a phylogeny. We employ the methodology of reversible-jump ( RJ) Markov chain Monte Carlo to search among the large number of possible models, some of which conform to independent evolution of the two traits, others to correlated evolution. The RJ Markov chain visits these models in proportion to their posterior probabilities, thereby directly estimating the support for the hypothesis of correlated evolution. In addition, the RJ Markov chain simultaneously estimates the posterior distributions of the rate parameters of the model of trait evolution. These posterior distributions can be used to test among alternative evolutionary scenarios to explain the observed data. All results are integrated over a sample of phylogenetic trees to account for phylogenetic uncertainty. We implement the method in a program called RJ Discrete and illustrate it by analyzing the question of whether mating system and advertisement of estrus by females have coevolved in the Old World monkeys and great apes.

A new method for analysing the equilibrium and time-dependent behaviour of Markovian models

Many large-scale stochastic systems, such as telecommunications networks, can be modelled using a continuous-time Markov chain. However, it is frequently the case that a satisfactory analysis of their time-dependent, or even equilibrium, behaviour is impossible. In this paper, we propose a new method of analyzing Markovian models, whereby the existing transition structure is replaced by a more amenable one. Using rates of transition given by the equilibrium expected rates of the corresponding transitions of the original chain, we are able to approximate its behaviour. We present two formulations of the idea of expected rates. The first provides a method for analysing time-dependent behaviour, while the second provides a highly accurate means of analysing equilibrium behaviour. We shall illustrate our approach with reference to a variety of models, giving particular attention to queueing and loss networks. (C) 2003 Elsevier Ltd. All rights reserved.

Sensor scheduling in electronic support using Markov chains

In electronic support, receivers must maintain surveillance over the very wide portion of the electromagnetic spectrum in which threat emitters operate. A common approach is to use a receiver with a relatively narrow bandwidth that sweeps its centre frequency over the threat bandwidth to search for emitters. The sequence and timing of changes in the centre frequency constitute a search strategy. The search can be expedited, if there is intelligence about the operational parameters of the emitters that are likely to be found. However, it can happen that the intelligence is deficient, untrustworthy or absent. In this case, what is the best search strategy to use? A random search strategy based on a continuous-time Markov chain (CTMC) is proposed. When the search is conducted for emitters with a periodic scan, it is shown that there is an optimal configuration for the CTMC. It is optimal in the sense that the expected time to intercept an emitter approaches linearity most quickly with respect to the emitter's scan period. A fast and smooth approach to linearity is important, as other strategies can exhibit considerable and abrupt variations in the intercept time as a function of scan period. In theory and numerical examples, the optimum CTMC strategy is compared with other strategies to demonstrate its superior properties.

Optimisation des horaires des agents et du routage des appels dans les centres d’appels

Nous étudions la gestion de centres d'appels multi-compétences, ayant plusieurs types d'appels et groupes d'agents. Un centre d'appels est un système de files d'attente très complexe, où il faut généralement utiliser un simulateur pour évaluer ses performances. Tout d'abord, nous développons un simulateur de centres d'appels basé sur la simulation d'une chaîne de Markov en temps continu (CMTC), qui est plus rapide que la simulation conventionnelle par événements discrets. À l'aide d'une méthode d'uniformisation de la CMTC, le simulateur simule la chaîne de Markov en temps discret imbriquée de la CMTC. Nous proposons des stratégies pour utiliser efficacement ce simulateur dans l'optimisation de l'affectation des agents. En particulier, nous étudions l'utilisation des variables aléatoires communes. Deuxièmement, nous optimisons les horaires des agents sur plusieurs périodes en proposant un algorithme basé sur des coupes de sous-gradients et la simulation. Ce problème est généralement trop grand pour être optimisé par la programmation en nombres entiers. Alors, nous relaxons l'intégralité des variables et nous proposons des méthodes pour arrondir les solutions. Nous présentons une recherche locale pour améliorer la solution finale. Ensuite, nous étudions l'optimisation du routage des appels aux agents. Nous proposons une nouvelle politique de routage basé sur des poids, les temps d'attente des appels, et les temps d'inoccupation des agents ou le nombre d'agents libres. Nous développons un algorithme génétique modifié pour optimiser les paramètres de routage. Au lieu d'effectuer des mutations ou des croisements, cet algorithme optimise les paramètres des lois de probabilité qui génèrent la population de solutions. Par la suite, nous développons un algorithme d'affectation des agents basé sur l'agrégation, la théorie des files d'attente et la probabilité de délai. Cet algorithme heuristique est rapide, car il n'emploie pas la simulation. La contrainte sur le niveau de service est convertie en une contrainte sur la probabilité de délai. Par après, nous proposons une variante d'un modèle de CMTC basé sur le temps d'attente du client à la tête de la file. Et finalement, nous présentons une extension d'un algorithme de coupe pour l'optimisation stochastique avec recours de l'affectation des agents dans un centre d'appels multi-compétences.

Queues with inter- ruption in Random/ Markovian Environment

In many situations probability models are more realistic than deterministic models. Several phenomena occurring in physics are studied as random phenomena changing with time and space. Stochastic processes originated from the needs of physicists.Let X(t) be a random variable where t is a parameter assuming values from the set T. Then the collection of random variables {X(t), t ∈ T} is called a stochastic process. We denote the state of the process at time t by X(t) and the collection of all possible values X(t) can assume, is called state space