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The variance of duration of stay in an absorbing Markov process

Published online by Cambridge University Press:  14 July 2016

Philip F. Rust
Philip F. Rust*
Affiliation:
University of Missouri–Columbia
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Abstract

Given a stationary Markov process with s transient states and r absorbing states, a matrix infinite series solution is presented for the variance of duration of stay in state j within the interval [0, t), given initial state i. Closed forms are derived for absorbing states, and for transient states if eigenvalues are real and distinct. Several relationships among Markov matrices are presented.

Keywords

ABSORBING MARKOV PROCESSDURATION OF STAYSOJOURN TIMESVARIANCE

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 15 , Issue 2 , June 1978 , pp. 420 - 425
Copyright
Copyright © Applied Probability Trust 1978 

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