Let: T = Set of Transient States
Tc= Set of Recurrent States
Output: The first passage probabilities to recurrent state j given X(0) = i, for all i in the set T and j in the set Tc.
Input: Q and R, where:
Q = submatrix of transion probabilities between transient states of the one-step transition probability matrix P.
R = submatrix of transition probabilities from transient states to recurrent states of the one-step transition probability matrix P.