Exponentiality of first passage times of continuous time Markov chains

Romain Bourget, Loïc Chaumont, Natalia Sapoukhina

Let $(X,\p_x)$ be a continuous time Markov chain with finite or countable state space $S$ and let $T$ be its first passage time in a subset $D$ of $S$. It is well known that if $\mu$…