FIRST PASSAGE TIMES AM) OTHER ANALYSIS OF CONTINUOUS PARAMETER MARKOV CHAINS

摘要

This report contains a discussion of two methods of computing first passage times for a finite state, continuous time parameter Markov chain. One of the methods involves a system of differential equations and the other is the Laplace transform technique. Other analyses involve the transition probability matrix and the steady state distribution. Several techniques for making computations are given and an example is worked. This report contains the solution of a problem presented by one of the agencies served under the Joint Services Advisory Group program.