Hitting time distribution for skip-free Markov chains: a simple proof

DOI10.1016/J.SPL.2013.04.008zbMATH Open1285.60075arXiv1301.7180OpenAlexW2078457569MaRDI QIDQ383965FDOQ383965

Ke Zhou

Publication date: 6 December 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: A well-known theorem for an irreducible skip-free chain with absorbing state $d$, under some conditions, is that the hitting (absorbing) time of state $d$ starting from state 0 is distributed as the sum of $d$ independent geometric (or exponential) random variables. The purpose of this paper is to present a direct and simple proof of the theorem in the cases of both discrete and continuous time skip-free Markov chains. Our proof is to calculate directly the generation functions (or Laplace transforms) of hitting times in terms of the iteration method.

Full work available at URL: https://arxiv.org/abs/1301.7180

zbMATH Keywords

random walkhitting timerecurrence equationbirth and death chainskip-free

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35)

Cites Work

• Markov chain models - rarity and exponentiality
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• On times to quasi-stationarity for birth and death processes
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• Coincidence properties of birth and death processes
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• On hitting times and fastest strong stationary times for skip-free and more general chains
• An eigenvalue decomposition for first hitting times in random walks
• Log-concavity and log-convexity in passage time densities of diffusion and birth-death processes

Cited In (5)

• Taboo rate and hitting time distribution of continuous-time reversible Markov chains
• An Elementary Proof of the Hitting Time Theorem
• Usual and stochastic tail orders between hitting times for two Markov chains
• Some sufficient conditions for stochastic comparisons between hitting times for skip-free Markov chains
• A note on the passage time of finite-state Markov chains

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