Entrance and sojourn times for Markov chains, application to (L, R)-random walks

zbMATH Open1341.60086MaRDI QIDQ2811803FDOQ2811803

Authors Valentina Cammarota, A. Lachal

Publication date 10 June 2016

Published in Markov Processes and Related Fields (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.08632

zbMATH Keywords

Markov chainsgenerating functionssojourn timesmatrix equationsentrance times\((L, R)\)-random walks

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50)

Abstract: In this paper, we provide a methodology for computing the probability distribution of sojourn times for a wide class of Markov chains. Our methodology consists in writing out linear systems and matrix equations for generating functions involving relations with entrance times. We apply the developed methodology to some classes of random walks with bounded integer-valued jumps.

Recommendations

• The joint distribution of sojourn times in finite Markov processes
• Extreme sojourns for random walks and birth-and-death processes
• Statistics of a class of Markov chains
• Factorizations of the sojourn times of semi-Markov random walks
• Sojourn times in finite Markov processes

Cited in

(1)

• Factorizations of the sojourn times of semi-Markov random walks

This page was built for publication: Entrance and sojourn times for Markov chains, application to \((L, R)\)-random walks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2811803)