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Theory of two-parameter Markov chain with an application in warranty study

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Type
Preprint
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arXiv ID: 1204.6641
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arXiv
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Abstract

In this paper we present the classical results of Kolmogorov's backward and forward equations to the case of a two-parameter Markov process. These equations relates the infinitesimal transition matrix of the two-parameter Markov process. However, solving these equations is not possible and we require a numerical procedure. In this paper, we give an alternative method by use of double Laplace transform of the transition probability matrix and of the infinitesimal transition matrix of the process. An illustrative example is presented for the method proposed. In this example, we consider a two-parameter warranty model, in which a system can be any of these states: working, failure. We calculate the transition density matrix of these states and also the cost of the warranty for the proposed model.

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