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Transient Probability Functions: A Sample Path Approach

Michael L. Green 1 Alan Krinik 1 Carrie Mortensen 1 Gerardo Rubino 2 Randall J. Swift 1
2 ARMOR - Architectures and network models
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes, Ecole Nationale Supérieure des Télécommunications de Bretagne
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.
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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. ⟨hal-01183945⟩

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