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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
68 articles.
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