Holding probability of a Markov chain

ID: holding-probability-of-a-markov-chain

At state , the holding probability of a discrete-time Markov chain is the self-transition probability . It is the conditional probability that the next state remains . In a nearest-neighbour birth-death chain, it is , where and are the probabilities of stepping right and left. Holding changes the elapsed time but not the embedded chain of actual moves or its boundary exit probabilities.

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