Related papers: A note on the passage time of finite state Markov …
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…
In this paper, we analyze the number of departures from an initially empty $M/M/\infty$ system in a finite time interval. We observe the system during an exponentially distributed period of time starting from the time origin. We then…
Consider a system evolving according to an absorbing discrete-time Markov chain with known transition matrix. The state of the system is observed at two points in time, separated by an unknown number of generations. We are interested in…
The distribution of the "mixing time" or the "time to stationarity" in a discrete time irreducible Markov chain, starting in state i, can be defined as the number of trials to reach a state sampled from the stationary distribution of the…
We present a closed-form, computable expression for the expected number of times any transition event occurs during the transient phase of a reducible Markov chain. Examples of events include time to absorption, number of visits to a state,…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
For a skip-free Markov process on non-negative integers with generator matrix Q, we evaluate the joint Laplace transform of the occupation times before hitting the state n (starting at 0). This Laplace transform has a very straightforward…
We investigate absorption, i.e., almost sure convergence to an absorbing state, in time-varying (non-homogeneous) discrete-time Markov chains with finite state space. We consider systems that can switch among a finite set of transition…
We consider a strictly substochastic matrix or an stochastic matrix with absorbing states. By using quasi-stationary distributions one shows there is a canonical associated stationary Markov chain. Based upon $2-$stringing representation of…
Consider an ergodic Markov chain on a countable state space for which the return times have exponential tails. We show that the stationary version of any such chain is a finitary factor of an i.i.d. process. A key step is to show that any…
In this paper, we consider a general class of two-time-scale Markov chains whose transition rate matrix depends on a parameter $\lambda>0$. We assume that some transition rates of the Markov chain will tend to infinity as…
In a recent paper, Shah [arXiv:2502.03073] derived an explicit expression for the distribution of occupancy times for a two-state Markov chain, using a method based on enumerating sample paths. We consider here the more general problem of…
We consider reversible ergodic Markov chains with finite state space, and we introduce a new notion of quasi-stationary distribution that does not require the presence of any absorbing state. In our setting, the hitting time of the…
We show how to map the states of an ergodic Markov chain to Euclidean space so that the squared distance between states is the expected commuting time. We find a minimax characterization of commuting times, and from this we get monotonicity…
A semi-Markov process is one that changes states in accordance with a Markov chain but takes a random amount of time between changes. We consider the generalisation to semi-Markov processes of the classical Lamperti law for the occupation…
An (upward) skip-free Markov chain with the set of nonnegative integers as state space is a chain for which upward jumps may be only of unit size; there is no restriction on downward jumps. In a 1987 paper, Brown and Shao determined, for an…
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)…
An aperiodic and irreducible Markov chain on a finite state space converges to its stationary distribution. When convergence to equilibrium is measured by total variation distance, there exists an optimal coupling and a maximal coupling…
Let $Y$ be an Ornstein-Uhlenbeck diffusion governed by an ergodic finite state Markov process $X$: $dY_t=-\lambda(X_t)Y_tdt+\sigma(X_t)dB_t$, $Y_0$ given. Under ergodicity condition, we get quantitative estimates for the long time behavior…
It is well known that the distributions of hitting times in Markov chains are quite irregular, unless the limit as time tends to infinity is considered. We show that nevertheless for a typical finite irreducible Markov chain and for…