The expected time until absorption when absorption is not certain
This paper considers continuous-time Markov chains whose state space consists of an irreducible class, 𝒞, and an absorbing state which is accessible from 𝒞. The purpose is to provide a way to determine the expected time to absorption conditional on such time being finite, in the case where absorption occurs with probability less than 1. The results are illustrated by applications to the general birth and death process and the linear birth, death and catastrophe process.
Permanent link to this document: http://projecteuclid.org/euclid.jap/1032438377
Digital Object Identifier: doi:10.1239/jap/1032438377
Mathematical Reviews number (MathSciNet): MR1671232
Zentralblatt MATH identifier: 0931.60065