Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

After answering the question Expectation of a stopping time uniquely determined by a function I was looking for the literature on the mean hitting/exit time for a discrete-time Markov process. In Meyn and Tweedie, Durett and some other books I haven't find such an information. Google also didn't help much for the discrete-time setting.

I guess that for the uncountable state space, mean hitting time equation shares the same properties as for the countable state space - but I would prefer to read a book chapter on this topic.

Dynkin briefly discussed it, though for the continuous time and too briefly.

share|cite|improve this question

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.