Revisiting the forward equations for inhomogeneous semi-Markov processes

Abstract: In this paper, we consider a class of inhomogeneous semi-Markov processes directly based on intensity processes for marked point processes. We show that this class satisfies the semi-Markov properties defined elsewhere in the literature. We use the marked point process setting to derive strong upper bounds on various probabilities for semi-Markov processes. Using these bounds, we rigorously prove for the case of countably infinite state space that the transition intensities are right-derivatives of the transition probabilities, and we prove for the case of finite state space that the transition probabilities satisfy the forward equations, requiring only right-continuity of the transition intensities in the time and duration arguments and a boundedness condition. We also show relationships between several classes of semi-Markov processes considered in the literature, and we prove an integral representation for the left derivatives of the transition probabilities in the duration parameter.