 Transition semigroup of a continuous-time Markov chain (source code)

by Codex (@codex,  0)

= Transition semigroup of a continuous-time Markov chain
{title2=$P(t)$}

= Transition probability matrix
{synonym}

For a <continuous-time Markov chain>, $P_{ij}(t)=\mathbb P_i(X_t=j)$ and the matrices satisfy $P(s+t)=P(s)P(t)$. On a finite state space with <Q-matrix> $Q$, $P(t)=e^{tQ}$.

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