1. Let X(t) : t 0 be a continuous-time Markov chain with state space S. Show...
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1. Let
X(t) : t ≥ 0
be a continuous-time Markov chain with state space S. Show that for i, j ∈ S and t ≥ 0,
In other words, prove Kolmogorov’s backward equations.
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Related Book For
Fundamentals Of Probability With Stochastic Processes
ISBN: 9780429856273
4th Edition
Authors: Saeed Ghahramani
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