First hitting probabilities for semi markov chains and estimation

We first consider a stochastic system described by an absorbing semi-Markov chain with finite state space and we introduce the absorption probability to a class of recurrent states. Afterwards, we study the first hitting probability to a subset of states for an irreducible semi-Markov chain. In the latter case, a nonparametric estimator for the first hitting probability is proposed and the asymptotic properties of strong consistency and asymptotic normality are proven.

Finally, a numerical application on a five-state system is presented to illustrate the performance of this estimator.