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Stochastic Models Volume 19, 2003 - Issue 1
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Original Articles

Matrix‐Exponential Distributions: Calculus and Interpretations via Flows

Mogens Bladt IIMAS-UNAY, MexicoCorrespondence[email protected]
&
Marcel F. Neuts University of Arizona, Tucson, Arizona, USA
Pages 113-124 | Received 17 Dec 2001, Accepted 14 Aug 2002, Published online: 15 Feb 2007

REFERENCES

  • Asmussen , S. 2000 . Ruin Probabilities Singapore : World Scientific .
  • Asmussen , S. and Bladt , M. 1996 . “ Renewal theory and queueing algorithms for matrix-exponential distributions ” . In Matrix-Analytic Methods in Stochastic Models Edited by: Chakravarthy , S. and Alfa , A.S. 313 – 341 . New York : Marcel Dekker .
  • Asmussen , S. and Bladt , M. 1999 . Point processes with finite-dimensional conditional probabilities . Stoch. Proc. Appl. , 82 : 127 – 142 .
  • Asmussen , S. and Bladt , M. 1996 . Phase-type distributions and risk processes with state-dependent premiums . Scand. Actuarial J. , 1 : 19 – 36 .
  • Knight , F.B. 1981 . “ Essays on Prediction Processes ” . Vol. 1 , Hayward, CA : The Institute of Mathematical Statistics .
  • Knight , F.B. 1992 . Foundation of Prediction Processes Oxford : Clarendon Press .
  • Neuts , M.F. 1981 . Matrix-Geometric Solutions in Stochastic Models: An Algorithmic Approach Baltimore : Johns Hopkins .
  • O'Cinneide. 1989 . Characterization of phase-type distributions . Stoch. Models , 6 : 1 – 57 .

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