Abstract

In this paper, we introduce a constructive approach to define Markov Alternative Renewal Reward processes(MARP).The construction is based on Poisson process, which is simple and intuitive. The construction makes it easy to interpret the parameters of Markov Renewal reward processes. Also it makes to establish basic equations such as Kolmogorov differential equations, mathematically rigorously for Markov Alternative Reward process(MARP). In addition, the approach can be used to construct alternative Markov chains with a finite number of states.

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