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 ...

In this paper we study absorbing continuous-time Markov decision processes in Polish state spaces with unbounded transition and cost rates, and history-dependent policies.The performance measure is ...

We present a methodology for estimating up-jump and down-jump intensities in a continuous-time portfolio credit rating migration model. These intensities are interpreted as systematic factors and can ...

Markov Models for disease progression are common in medical decision making (see references below). The parameters in a Markov model can be estimated by observing the time it takes patients in any ...