Volume 8, August 2004
|Page(s)||66 - 75|
|Published online||15 September 2004|
Central limit theorem for hitting times of functionals of Markov jump processes
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Revised: 24 May 2003
Revised: 13 October 2003
A sample of i.i.d. continuous time Markov chains being defined, the sum over each component of a real function of the state is considered. For this functional, a central limit theorem for the first hitting time of a prescribed level is proved. The result extends the classical central limit theorem for order statistics. Various reliability models are presented as examples of applications.
Mathematics Subject Classification: 60F05 / 60J25 / 60K10
Key words: Central limit theorem / hitting time / reliability / failure time.
© EDP Sciences, SMAI, 2004
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