Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2010/ii/paper-1/27i/a/solution

An equilibrium distribution of a continuous-time Markov chain is a probability row vector invariant under the transition semigroup: for every . Differentiating gives , or for each , when the generator sums are defined. Reducible chains may have several closed classes supporting different equilibrium distributions; convex mixtures are then also equilibria. Irreducibility and positive recurrence give uniqueness for a conservative nonexplosive chain.

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