A Continuous-Time Semi-Markov System Governed by Stepwise Transitions

Abstract

In this paper, we introduce a class of stochastic processes in continuous time, called step semi-Markov processes. The main idea comes from bringing an additional insight to a classical semi-Markov process: the transition between two states is accomplished through two or several steps. This is an extension of a previous work on discrete-time step semi-Markov processes. After defining the models and the main characteristics of interest, we derive the recursive evolution equations for two-step semi-Markov processes.

Keywords

• continuous-time semi-Markov processes
• step semi-Markov processes
• minimum class of distributions
• stochastic modelling