FIRST PASSAGE TIMES AND OUTER ANALYSIS OF CONTINUOUS PARAMETER MARKOV CHAINS.

Abstract

Two methods are discussed of computing first passage times for a finite state, continuous time parameter Markov chain. One of the methods involves a system of differential equations and the other is the Laplace transform technique. Other analyses involve the transition probability matrix and the steady state distribution. Several techniques for making computations are given and an example is worked. A problem is solved which was presented by one of the agencies served under the Joint Services Advisory Group program. (Author)

Document Details

Document Type
Technical Report
Publication Date
Nov 15, 1965
Accession Number
AD0624458

Entities

People

  • H. Rubin
  • I. Macneill

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Computations
  • Differential Equations
  • Equations
  • Markov Chains
  • Mathematical Analysis
  • Mathematics
  • Partial Differential Equations
  • Probability
  • Real Variables
  • Steady State
  • Transitions

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Defense Technology Research and Development.
  • Statistical inference.