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First-passage-time moments of Markov processes

Published online by Cambridge University Press:  14 July 2016

David D. Yao
David D. Yao*
Affiliation:
Columbia University
*
∗ Postal address: Department of Industrial Engineering and Operations Research, Columbia University, New York, NY 10027, USA.
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Abstract

We consider the first-passage times of continuous-time Markov chains. Based on the approach of generalized inverse, moments of all orders are derived and expressed in simple, explicit forms in terms of the ‘fundamental matrix'. The formulas are new and are also efficient for computation.

Keywords

GENERALIZED INVERSEFUNDAMENTAL MATRIXMATRIX ANALYSIS

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 22 , Issue 4 , December 1985 , pp. 939 - 945
Copyright
Copyright © Applied Probability Trust 1985 

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References

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