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.

Source : oai:HAL:hal-01183945v1

Volume: DMTCS Proceedings vol. AC, Discrete Random Walks (DRW'03)

Section: Proceedings

Published on: January 1, 2003

Submitted on: May 10, 2017

Keywords: sample paths,dual processes,transient probability functions,Markov process,randomization.,[INFO.INFO-DS] Computer Science [cs]/Data Structures and Algorithms [cs.DS],[INFO.INFO-DM] Computer Science [cs]/Discrete Mathematics [cs.DM],[MATH.MATH-CO] Mathematics [math]/Combinatorics [math.CO],[INFO.INFO-CG] Computer Science [cs]/Computational Geometry [cs.CG]

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