Computing expected transition events in reducible Markov chains
We present a closed-form, computable expression for the expected number of times any transition event occurs during the transient phase of a reducible Markov chain. Examples of events include time to absorption, number of visits to a state, traversals of a particular transition, loops from a state to itself, and arrivals to a state from a particular subset of states. We give an analogous expression for time-average events, which describe the steady-state behavior of reducible chains as well as the long-term behavior of irreducible chains.
math.PR↗