Abstract
This paper provides a general framework for establishing the relation between various moments of matrix exponential and Markovian processes. Based on this framework we present an algorithm to compute any finite dimensional moments of these processes based on a set of required (low order) moments. This algorithm does not require the computation of any representation of the given process. We present a series of related results and numerical examples to demonstrate the potential use of the obtained moment relations.
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This work is partially supported by the Italian-Hungarian bilateral R&D programme, by OTKA grant n. T-34972, by MIUR through PRIN project Famous and by EEC project Crutial.
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Bodrog, L., Horváth, A. & Telek, M. Moment characterization of matrix exponential and Markovian arrival processes. Ann Oper Res 160, 51–68 (2008). https://doi.org/10.1007/s10479-007-0296-8
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DOI: https://doi.org/10.1007/s10479-007-0296-8