On the first-exit time problem for temporally homogeneous Markov processes

1 March 1976

journal article
Published by Cambridge University Press (CUP) in Journal of Applied Probability

Vol. 13 (1) , 39-48
https://doi.org/10.2307/3212663

Abstract

Using an integral equation of Darling and Siegert in conjunction with the backward Kolmogorov equation for the transition probability density function, recurrence relations are derived for the moments of the time of first exit of a temporally homogeneous Markov process from a set in the phase space. The results, which are similar to those for diffusion processes, are used to find the expectation of the time between impulses of a Stein model neuron.

Keywords

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