Accession Number:

ADA172083

Title:

Identifying Coefficients in the Spectral Representation for First Passage Times.

Descriptive Note:

Technical rept.,

Corporate Author:

CITY COLL NEW YORK

Personal Author(s):

• Brown,Mark
• Shao,Yi-Shi

Report Date:

1986-05-15

Pagination or Media Count:

13.0

Abstract:

The spectral approach to first passage time distributions for Markov processes requires knowledge of the eigenvalues and eigenvectors of the infinitesimal generator matrix. We demonstrate that in many cases knowledge of the eigenvalues alone is sufficient to compute the first passage time distribution.

Descriptors:

• *MARKOV PROCESSES
• MATRICES(MATHEMATICS)
• EIGENVALUES
• COEFFICIENTS
• SPECTRUM ANALYSIS

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE