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Passage Time

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Definition

Let {Xn},n≄0\{X_{n}\},n\ge0 be MC with the state space SS. Let i∈Si\in S be a state. Denote Ti(r)T_{i}^{(r)} to be the rthr^{th} passage time to ii. Specifically, let Ti(0)=0,T_{i}^{(0)}=0, and for r≄0r\ge0, Ti(r+1)=inf⁔{n>Ti(r):Xn=i}T_{i}^{(r+1)}=\inf\{n>T_{i}^{(r)}:X_{n}=i\}

Let i∈Si\in S and r≄0r\ge0. Then the passage time Ti(r)T_{i}^{(r)} is a stopping time.

Let i∈Si\in S and r≄1r\ge1. Then 1. For r≄1r\ge1, P(Ti(r+1)<āˆžāˆ£Ti(r)<āˆž)=Pi(Ti(1)<āˆž)=hiP(T_{i}^{(r+1)}<\infty|T_{i}^{(r)}<\infty)=P_{i}(T_{i}^{(1)}<\infty)=h_{i}or the probability that we pass state ii again given we did it rr times is equivalent to probability that starting from ii we return to ii which is equivalent to the Hitting Time. 2. Consequently, r≄0r\ge0, Pi(Ti(r)<āˆž)=(Pi(Ti(1)<āˆž))r=(hi)rP_{i}(T_{i}^{(r)}<\infty)=(P_{i}(T_{i}^{(1)}<\infty))^{r}=(h_{i})^{r}

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