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Spectral representations of the transition probability matrices for continuous time finite Markov chains
Published online by Cambridge University Press: 14 July 2016
Abstract
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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- Copyright © Applied Probability Trust 1996
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