Bibliography on Markov chains with a general state space
Zbyněk Šidák (1976)
Aplikace matematiky
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Zbyněk Šidák (1976)
Aplikace matematiky
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Jeffrey J. Hunter (2016)
Special Matrices
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This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30, 197–207, (1986) procedure. The technique is numerically stable in that it doesn’t involve subtractions. Algebraic expressions for the special cases of one, two, three and four states are derived.Aconsequence of the procedure is that the stationary distribution of the...
Kalashnikov, Vladimir V. (1994)
Journal of Applied Mathematics and Stochastic Analysis
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Maria Jankiewicz (1978)
Applicationes Mathematicae
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Marius Losifescu (1979)
Banach Center Publications
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Ball, Frank G., Milne, Robin K., Yeo, Geoffrey F. (2007)
Journal of Applied Mathematics and Decision Sciences
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Mariusz Górajski (2009)
Annales UMCS, Mathematica
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In this paper we consider an absorbing Markov chain with finite number of states. We focus especially on random walk on transient states. We present a graph reduction method and prove its validity. Using this method we build algorithms which allow us to determine the distribution of time to absorption, in particular we compute its moments and the probability of absorption. The main idea used in the proofs consists in observing a nondecreasing sequence of stopping times. Random walk on...