DMTCS Proceedings, Discrete Random Walks, DRW'03

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Transient Probability Functions: A Sample Path Approach

Michael L. Green, Alan Krinik, Carrie Mortensen, Gerardo Rubino, Randall J. Swift


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.

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