Entrance and sojourn times for Markov chains. Application to $(L,R)$-random walks

Valentina Cammarota, Aimé Lachal

Published 2015-03-30Version 1

In this paper, we provide a methodology for computing the probability distribution of sojourn times for a wide class of Markov chains. Our methodology consists in writing out linear systems and matrix equations for generating functions involving relations with entrance times. We apply the developed methodology to some classes of random walks with bounded integer-valued jumps.