ABSORPTION PROBABILITIES OF MARKOV CHAINS HAVING A FINITE COMPLEMENT OF IRREDUCIBLE CLOSED SETS
Li Chang · Journal of Qingdao University · 2003
The state space Ψ of a Markov chain Xn, n≥0,is decomposed into disjoint irreducible closed sets C1, C2, ..., Ck, ..., and their complement ΨT. In case ΨT is nonempty and finite, several formulas in terms of the transition function matrix for computing the absorption probabilities have been found, and some intuitive properties about the hitting time have also been proved.