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Identifying Coefficients in the Spectral Representation for First Passage Time Distributions

  • Mark Brown (a1) and Yi-Shi Shao (a1)


The spectral approach to first passage time distributions for Markov processes requires knowledge of the eigenvalues and eigenvectors of the infinitesimal generator matrix. We demonstrate that in many cases knowledge of the eigenvalues alone is sufficient to compute the first passage time distribution.



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