Identifying Coefficients in the Spectral Representation for First Passage Times.

Abstract

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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Document Details

Document Type
Technical Report
Publication Date
May 15, 1986
Accession Number
ADA172083

Entities

People

  • Mark O. Brown
  • Yi-shi Shao

Organizations

  • City College of New York

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Analytic Functions
  • Coefficients
  • Convolution
  • Distribution Functions
  • Eigenvalues
  • Eigenvectors
  • Generators
  • Markov Chains
  • Markov Processes
  • New Jersey
  • New York
  • Probability
  • Random Variables
  • Scientific Research
  • Security
  • Stochastic Processes

Readers

  • Calculus or Mathematical Analysis
  • Mathematical Modeling and Probability Theory.