Markov Chain Hitting Times
In the context of Markov chains, the fundamental use of the heuristic is to estimate the distribution of the first hitting time to a rarely-visited state or set of states. Such problems arise in several areas of applied probability, e.g., queueing theory and reliability, as well as pure theory. The heuristic is useful in the case where the stationary distribution is known explicitly but transient calculations are difficult.
KeywordsRandom Walk Stationary Distribution Queue Length Sojourn Time Simple Random Walk
Unable to display preview. Download preview PDF.