Hitting times of sequences

A. O. Pittenger

Stochastic Processes and their Applications, 1987, vol. 24, issue 2, 225-240

Abstract: Let X be an ergodic Markov chain on a finite state space S0 and let s and t be finite sequences of elements from S0. We give an easily computable formula for the expected time of completing t, given that s was just observed. If A0 is a finite set of such sequences, we show how that formula may be used to compute the hitting distribution on A0.

Date: 1987
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