Sojourn times in finite Markov processes

Sojourn times in finite Markov processes

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Article ID: iaor1990629
Country: Israel
Volume: 26
Issue: 4
Start Page Number: 1
End Page Number: 7
Publication Date: Dec 1989
Journal: Journal of Applied Probability
Authors: ,
Abstract:

Sojourn times of Markov processes in subsets of the finite state space are considered. The authors give a closed form of the distribution of the nth sojourn time in a given subset of states. The asymptotic behaviour of this distribution when time goes to infinity is analyzed, in the discrete time and the continuous-time cases. The authors consider the usually pseudo-aggregated Markov process canonically constructed from the previous one by collapsing the states of each subset of a given partition. The relation between limits of moments of the sojourn time distributions in the original Markov process and the moments of the corresponding holding times of the pseudo-aggregated one is also studied.

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