$X$ is a Markov process with state space $(1,2,3)$. How can I find the matrices of transition probabilities $P(t)$ if the generator is \begin{bmatrix}-2&2&0\\2&-4&2\\0&2&-2\end{bmatrix}?

Can I use Kolmogorov forward equation $P'(t)=P(t)Q$ where $Q$ is the generator for this problem?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.