离散Markov链的吸收概率和平均吸收时间

IF 0.8 Q3 STATISTICS & PROBABILITY

Monte Carlo Methods and Applications Pub Date : 2021-02-02 DOI:10.1515/MCMA-2021-2084

N. Halidias

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引用次数: 0

摘要

摘要在本文中，我们研究了离散时间马尔可夫链吸收的概率和平均时间。特别是，当吸收不确定时，我们有兴趣估计吸收的平均时间，并将其与其他一些已知结果联系起来。通过计算一个合适的概率生成函数，我们能够在吸收不确定的情况下估计吸收的平均时间，给出了一些关于随机游动的应用。此外，我们研究了马尔可夫链在到达B之前到达集合a的概率，将这一结果推广到集合A1，A2，…，Ak{a_{1}，a_{2}，\dots，a_{k}}的序列。

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On the absorption probabilities and mean time for absorption for discrete Markov chains

Abstract In this note we study the probability and the mean time for absorption for discrete time Markov chains. In particular, we are interested in estimating the mean time for absorption when absorption is not certain and connect it with some other known results. Computing a suitable probability generating function, we are able to estimate the mean time for absorption when absorption is not certain giving some applications concerning the random walk. Furthermore, we investigate the probability for a Markov chain to reach a set A before reach B generalizing this result for a sequence of sets A1,A2,…,Ak{A_{1},A_{2},\dots,A_{k}}.

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来源期刊

Monte Carlo Methods and Applications STATISTICS & PROBABILITY-

CiteScore

1.20

自引率

22.20%

发文量