Hitting time in a finite non-homogeneous Markov chain with applications

This paper deals with the computation of the hitting time for a non-homogeneous discrete time Markov chain (NHDTMC or NHMC). We first give the basic definitions of NHMC, then we analyse the hitting time and its survivor function. We also give the sufficient conditions for the existence of the mean hitting time. Finally, a numerical example and an application of this development in reliability evaluation are given in order to illustrate our results. © 1998 John Wiley & Sons, Ltd.