2 papers
math.PR2016
Detecting Markov Chain Instability: A Monte Carlo Approach
Michel Mandjes, Brendan Patch, Neil Walton
We devise a Monte Carlo based method for detecting whether a non-negative Markov chain is stable for a given set of parameter values. More precisely, for a given subset of the para…
math.PR2014
A Correction Term for the Covariance of Renewal-Reward Processes with Multivariate Rewards
Brendan Patch, Yoni Nazarathy, Thomas Taimre
We consider a renewal-reward process with multivariate rewards. Such a process is constructed from an i.i.d.\ sequence of time periods, to each of which there is associated a multi…