Markov chains with almost exponential hitting times

David J. Aldous

Stochastic Processes and their Applications, 1982, vol. 13, issue 3, 305-310

Abstract: If a Markov chain converges rapidly to stationarity, then the time until the first hit on a rarely-visited set of states is approximately exponentially distributed; moreover an explicit bound for the error in this approximation can be given. This complements results of Keilson.

Keywords: Markov; chain; hitting; time; exponential; approximation (search for similar items in EconPapers)
Date: 1982
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Citations: View citations in EconPapers (5)

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