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Markov jump-process generator
...
Mathematics
Area of mathematics
Probability and statistics
Probability theory
Markov chain
Continuous-time Markov chain
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Words: 34
For transition rates
q
nm
, the generator acts on a function
f
by
(
L
f
)
(
n
)
=
∑
m
=
n
q
nm
(
f
(
m
)
−
f
(
n
)
)
.
(113)
Whenever the expectations are finite,
d
t
d
E
[
f
(
N
t
)]
=
E
[(
L
f
)
(
N
t
)]
.
(114)
Choosing polynomial functions
f
gives differential equations for the moments.
Ancestors
(7)
Continuous-time Markov chain
Markov chain
Probability theory
Probability and statistics
Area of mathematics
Mathematics
Home
Incoming links
(3)
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