Some Sufficient Conditions for Stochastic Comparisons Between Hitting Times for Skip-free Markov Chains

Emilio De Santis () and Fabio Spizzichino ()
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Emilio De Santis: La Sapienza University
Fabio Spizzichino: La Sapienza University

Methodology and Computing in Applied Probability, 2016, vol. 18, issue 4, 1021-1034

Abstract: Abstract We develop some sufficient conditions for the usual stochastic ordering between hitting times, of a fixed state, for two finite Markov chains with the same state-space. Our attention will be focused on the so called skip-free case and, for the proof of our results, we develop a special type of coupling. We also analyze some special cases of applications in the frame of reliability degradation and of times to occurrence of words under random sampling of letters from a finite alphabet. As will be briefly discussed such fields give rise, in a natural way, to skip-free Markov chains.

Keywords: Coupling; Degradation; Word occurrences; Leading numbers; 60E15; 60J10 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-016-9486-7

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