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On the First Passage Time Distribution for a Class of Markov Chains
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1983
Year
Markov ChainsMonotone ChainIfra DistributionsEngineeringNatural SciencesHidden Markov ModelStochastic ProcessesMarkov ProcessesStochastic CalculusStochastic Dynamical SystemMarkov KernelStochastic SystemStochastic AnalysisProbability TheoryStochastic PhenomenonMarkov Chain Monte CarloFluid QueueMonotone Paths
Consider a stochastically monotone chain with monotone paths on a partially ordered countable set $S$. Let $C$ be an increasing subset of $S$ with finite complement. Then the first passage time from $i \in S$ to $C$ is shown to be IFRA (increasing failure rate on the average). Several applications are presented including coherent systems, shock models, and convolutions of IFRA distributions.