The first-passage times of phase semi-Markov processes

Abstract

In this paper, we consider a class of semi-Markov processes, known as phase semi-Markov processes, which can be considered as an extension of Markov processes, but whose times between transitions are phase-type random variables. Based on the theory of generalized inverses, we derive expressions for the moments of the first-passage time distributions, generalizing the results obtained by Kemeny and Snell (1960) for Markov chains.