Open Access

ABSTRACT

Sampling-reconstruction procedure of discrete Markov processes with continuous time

by Yu.A. Goritskiy¹, V.A. Kazakov²

1 Moscow Power Engineering Institute, Moscow, Russia
2 National Polytechnic Institute of Mexico, Mexico

The International Conference on Computational & Experimental Engineering and Sciences 2010, 14(2), 63-64. https://doi.org/10.3970/icces.2010.014.063

Abstract

At the first time the statistical description of the Sampling-Reconstruction Procedure (SRP) of Discrete Markov Processes (Markov chains) with continuous time and with an arbitrary number of states is given. The mathematical models of Markov chains with continuous time are intensively used in the description of some real stochastic processes with jumps (in control systems and radio engineering), for instance, impulse noise [1, 2]. This is the reason that it is necessary to know: how to sample, how to reconstruct and how to calculate the reconstruction errors of such processes. (Jumps can be occurred in continuous time moments.) So, the usual method of the SRP investigation of continuous stochastic processes (i.e. the method of the conditional mathematical expectation rule) can not be applied directly.

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