Identifying Coefficients in the Spectral Representation for First Passage Time Distributions

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 distributi...

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Bibliographic Details
Published in:Probability in the engineering and informational sciences 1987-01, Vol.1 (1), p.69-74
Main Authors: Brown, Mark, Shao, Yi-Shi
Format: Article
Language:English
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Summary: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.
ISSN:0269-9648
1469-8951
DOI:10.1017/S0269964800000309