On the distribution of the hitting time for the N–urn Ehrenfest model

Cheng Xin, Minzhi Zhao, Qiang Yao and Erjia Cui

Statistics & Probability Letters, 2020, vol. 157, issue C

Abstract: In this paper, we consider the N–urn Ehrenfest model. By utilizing an auxiliary continuous-time Markov chain, we obtain the explicit formula for the Laplace transform of the hitting time from a single state to a set A of states where A satisfies some symmetric properties. After obtaining the Laplace transform, we are able to compute the high-order moments (especially, variance) for the hitting time.

Keywords: Ehrenfest model; Markov chain; Hitting time; Laplace transform (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108625

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