Matrix methods for Markovian and semi-Markovian processes

PhD defence by Phillip Frede Halmsted Olsen

Assessment Committee

Professor Jeffrey F. Collamore, Department of Mathematical Sciences, University of Copenhagen (Chairperson)
Professor Marcus Christiansen, Carl von Ossietzky Universität Oldenburg
Professor David Landriault, University of Waterloo

Supervisors

Professor Mogens Bladt
Professor Thomas Valentin Mikosch

Department

Department of Mathematical Sciences

Place

The defence is conducted as a hybrid defence.

To attend the defence in person:
Building: H.C. Ørsted Institutet, Room: Auditorium 4,
Universitetsparken 5, Copenhagen Ø, 2100

To attend the defence online:
Please follow the link to attend the defence online:
https://ucph-ku.zoom.us/j/9869452027?pwd=JRT89NueUqaVxXNPEHnAR0hGtrZsR9.1

Email address to gain access to the thesis: phillipfho@gmail.com.
You will either receive a copy of the thesis or be informed where you can read a physical copy.
Recipients of copies of the thesis are not allowed to share or distribute it due to copyright compliance.

Short description of the thesis

The aim of this thesis is to extend the applicability of matrix-based Markovian methods through new approximation techniques and model extensions. The contributions include approximation methods for Lévy processes, heavy-tailed extensions of phase-type distributions, and matrix-based frameworks for time-inhomogeneous multivariate arrival processes and semi-Markov processes.