Mathematical Proceedings of the Cambridge Philosophical Society

Research Article

A use of complex probabilities in the theory of stochastic processes

D. R. Coxa1

a1 Statistical Laboratory Cambridge

Abstract

The exponential distribution is very important in the theory of stochastic processes with discrete states in continuous time. A. K. Erlang suggested a method of extending to other distributions methods that apply in the first instance only to exponential distributions. His idea is generalized to cover all distributions with rational Laplace transforms; this involves the formal use of complex transition probabilities. Properties of the method are considered.

(Received September 17 1954)