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Lévy Processes, Phase-Type Distributions, and Martingales
Stochastic Models, 2014Levy processes are defined as processes with stationary independent increments and have become increasingly popular as models in queueing, finance, etc.; apart from Brownian motion and compound Poisson processes, some popular examples are stable processes, variance gamma processes, CGMY Levy processes (tempered stable processes), NIG (normal inverse ...
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Modelling healthcare systems with phase-type distributions
Health Care Management Science, 2008Phase-type distributions constitute a very versatile class of distributions. They have been used in a wide range of stochastic modelling applications in areas as diverse as telecommunications, finance, biostatistics, queueing theory, drug kinetics, and survival analysis.
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From the Exponential Distribution to Phase-Type Distributions
2013This chapter introduces phase-type distributions. Topics covered in this chapter are: (i) the exponential distribution; (ii) definitions of phase-type distributions; (iii) closure properties of phase-type distributions; (iv) PH-representations; (v) multivariate phase-type distributions; and (vi) parameter estimation and fitting of phase-type ...
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Characterisation of multivariate phase type distributions
Queueing Systems, 2022openaire +2 more sources
On non-uniqueness of representations of phase-type distributions
Stochastic Models, 1989Colm Art O'Cinneide
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