In applied probability, a Markov additive process (MAP) is a bivariate Markov process where the future states depends only on one of the variables.^{[1]}
YouTube Encyclopedic

1/3Views:7 41414 6151 092

✪ Stopping time, hitting time and other times

✪ Mean First Passage and Recurrence Times

✪ 13E Markov Chain Mean First Passage Time
Transcription
Contents
Definition
Finite or countable state space for J(t)
The process is a Markov additive process with continuous time parameter t if^{[1]}
 is a Markov process
 the conditional distribution of given depends only on .
The state space of the process is R × S where X(t) takes real values and J(t) takes values in some countable set S.
General state space for J(t)
For the case where J(t) takes a more general state space the evolution of X(t) is governed by J(t) in the sense that for any f and g we require^{[2]}
 .
Example
A fluid queue is a Markov additive process where J(t) is a continuoustime Markov chain.
Applications
Çinlar uses the unique structure of the MAP to prove that, given a gamma process with a shape parameter that is a function of Brownian motion, the resulting lifetime is distributed according to the Weibull distribution.
Kharoufeh presents a compact transform expression for the failure distribution for wear processes of a component degrading according to a Markovian environment inducing statedependent continuous linear wear by using the properties of a MAP and assuming the wear process to be temporally homogeneous and that the environmental process has a finite state space.
Notes
 ^ ^{a} ^{b} Magiera, R. (1998). "Optimal Sequential Estimation for MarkovAdditive Processes". Advances in Stochastic Models for Reliability, Quality and Safety. pp. 167–181. doi:10.1007/9781461222347_12. ISBN 9781461274667.
 ^ Asmussen, S. R. (2003). "Markov Additive Models". Applied Probability and Queues. Stochastic Modelling and Applied Probability. 51. pp. 302–339. doi:10.1007/0387215255_11. ISBN 9780387002118.