The relationship between intensity and stochastic matrices for continuous-time discrete value stochastic non-homogeneous processes with Markov property

Authors

  • Mi los lawa Sokol

DOI:

https://doi.org/10.24297/jam.v13i3.6174

Keywords:

Markov process, Non-homogeneous process, Intensity matrix, Stochastic matrix

Abstract

The matrices of non-homogeneous Markov processes consist of time-dependent functions whose values at time form typical intensity matrices. For solvingsome problems they must be changed into stochastic matrices. A stochas-tic matrix for non-homogeneous Markov process consists of time-dependent functions, whose values are probabilities and it depend on assumed time pe- riod. In this paper formulas for these functions are derived. Although the formula is not simple, it allows proving some theorems for Markov stochastic processes, well known for homogeneous processes, but for non-homogeneous ones the proofs of them turned out shorter.

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Author Biography

Mi los lawa Sokol

Faculty of Biology, Biological and Chemical Research Centre, University of Warsaw,
Zwirki i Wigury 101, 02-089 Warsaw,

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Published

2017-06-21

How to Cite

Sokol, M. los lawa. (2017). The relationship between intensity and stochastic matrices for continuous-time discrete value stochastic non-homogeneous processes with Markov property. JOURNAL OF ADVANCES IN MATHEMATICS, 13(3), 7244–7256. https://doi.org/10.24297/jam.v13i3.6174

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