Absorbing States: (Q0Ris)
Absorbing States: (Q0Ris)
Calculations
P = (Q0RIs)
N=(It−Q)−1=k=0∑∞Qk,
So Ni,j=Prob(X0=j∣X0=i)+Prob(X1=j∣X0=i)+Prob(X2=j∣X0=i)+…=E(number of times j is visited∣X0=i).
It follows from the linearity of expectation that, starting from state ii, the expected number of
steps before entering an absorbing state is given by the i^\text{th}ith entry of the column
vector N \, \mathbf{1}N1.
Mi,j=k=1∑tProb(Xt+1=j∣Xt=k)E(number of times k is visited∣X0=i).
Many processes one may wish to model occur in continuous time (e.g. disease transmission
events, cell phone calls, mechanical component failure times, . . .). A discrete-time
approximation may or may not be adequate.
Here we consider homogeneous chains, meaning P[X(t + s)= j | X(s)= i] = P[X(t)= j | X(0)= i]
Write {Xn, n ≥ 0} for the sequence of states that {X(t)} arrives in, and let Sn be the
corresponding arrival times. Set XA n = Sn − Sn−1.
The Markov property for {X(t)} implies the (discrete-time) Markov property for {Xn}, thus
{Xn} is an embedded Markov chain, with transition matrix P = [Pij ].
Similarly, the inter-arrival times XA n must be conditionally independent given {Xn}. Why?
Show that XA n has a memoryless property conditional on Xn−1, P XA n > t + s | XA n > s,
Xn−1= x = P XA n > t| Xn−1= x i.e., XA n is conditionally exponentially distributed given
Xn−1.
Section 29.3 dealt with finding n-step transition probabilities from state i to state j. It
is often desirable to also make probability statements about the number of transitions made
by the process in going from state i to state j for the first time. This length of time is called
the first passage time in going from state i to state j. When j = i, this first passage time is just
the number of transitions until the process returns to the initial state i. In this case, the first
passage time is called the recurrence time for state i.
X0 = 3, X1 = 2, X2 = 1, X3 = 0, X4 = 3, X5 = 1.
In this case, the first passage time in going from state 3 to state 1 is 2 weeks, the first passage
time in going from state 3 to state 0 is 3 weeks, and the recurrence time for state 3 is 4 weeks.