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

zbMATH Open1341.60086arXiv1503.08632MaRDI QIDQ2811803FDOQ2811803

A. Lachal, Valentina Cammarota

Publication date: 10 June 2016

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

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.

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)

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