First passage times for multidimensional denumerable state Markov processes |
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Authors: | Guanghui Xu Deju Xu |
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Institution: | (1) Institue of Applied Mathemics, Chinese Academy of Sciences, 100080 Beijing, China;(2) Asian-Pacific Operations Research Center within CAS and APORS, 100080 Beijing, China |
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Abstract: | For a general multidimensional denumerable state Markov process with any initial state probability vector, the probability
density function and its LS transform of the first passage time to a certain given state set are obtained and the algorithms
for them are derived. It is proved that the resulting errors of the algorithms are both uniform in their respective arguments.
Some numerical results are presented. |
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Keywords: | multidimensional denumerable state Markov process first passage time uniformization uniform error |
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