Spectral representations of the transition probability matrices for continuous time finite Markov chains

被引:4
|
作者
Peng, NF
机构
关键词
Markov chains; transition probability matrices; spectral representations;
D O I
10.2307/3215261
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Using an easy linear-algebraic method, we obtain spectral representations, without the need for eigenvector determination, of the transition probability matrices for completely general continuous time Markov chains with finite state space. Comparing the proof presented here with that of Brown (1991), who provided a similar result for a special class of finite Markov chains, we observe that ours is more concise.
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页码:28 / 33
页数:6
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