Chapman-kolmogorov equations
Reference work entry
First Online:
DOI: https://doi.org/10.1007/1-4020-0611-X_109
In a parameter-homogeneous Markov chain {
X(
t)} with state space
S, define
p
ij (
t) as the probability that
X(
t +
s) =
j, given that
X(
s) =
i for
s,
t ≥ 0. Then, for all states
i,
j and index parameters
s,
t ≥ 0,
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© Kluwer Academic Publishers 2001