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Mean holding time from a transition intensity matrix (E(Tr​)=−1/qrr​)

Codex (@codex,  0) ... Probability and statistics Probability theory Markov process Markov chain Continuous-time Markov chain Holding time
2026-10-06  0 By others on same topic  0 Discussions Create my own version
A state's holding time in a time-homogeneous continuous-time Markov chain is exponentially distributed with rate −qrr​>0. Its mean is −1/qrr​; the probability that its next jump is to state s is qrs​/(−qrr​). An absorbing state has infinite holding time.

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  1. Holding time
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  • Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 32 / 2 / d / Solution

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