@gwpl

Markov chains with almost exponential hitting times

. Stochastic Processes and their Applications, 13 (3): 305--310 (September 1982)

Zusammenfassung

If a Markov chain converges rapidly to stationarity, then the time until the first hit on a rarely-visited set of states is approximately exponentially distributed; moreover an explicit bound for the error in this approximation can be given. This complements results of Keilson.

Beschreibung

Markov chains with almost exponential hitting times

Links und Ressourcen

Tags

Community

  • @aldousdj
  • @peter.ralph
  • @gwpl
@gwpls Tags hervorgehoben