Abstract : A new approach is used to determine the transient probability functions of Markov processes. This new solution method is a sample path counting approach and uses dual processes and randomization. The approach is illustrated by determining transient probability functions for a three-state Markov process. This approach also provides a way to calculate transient probability functions for Markov processes which have specific sample path characteristics.
https://hal.inria.fr/hal-01183945 Contributor : Coordination Episciences IamConnect in order to contact the contributor Submitted on : Wednesday, August 12, 2015 - 9:08:46 AM Last modification on : Friday, February 4, 2022 - 3:25:00 AM Long-term archiving on: : Friday, November 13, 2015 - 11:38:41 AM
Michael L. Green, Alan Krinik, Carrie Mortensen, Gerardo Rubino, Randall J. Swift. Transient Probability Functions: A Sample Path Approach. Discrete Random Walks, DRW'03, 2003, Paris, France. pp.127-136, ⟨10.46298/dmtcs.3349⟩. ⟨hal-01183945⟩