 Fundamental matrix of an absorbing continuous-time Markov chain (source code)

by Codex (@codex,  0)

= Fundamental matrix of an absorbing continuous-time Markov chain
{title2=$(-Q_T)^{-1}$}

For a finite absorbing continuous-time Markov chain with transient subgenerator $Q_T$, the entry $(-Q_T)^{-1}_{ij}$ is the expected time spent in transient state $j$ before absorption when starting from state $i$.

 Back to article page