How to express Jump Process in terms of the generator (rate matrix) Aby dyh Tags: generator, jump process 

#1
Dec1312, 04:44 PM

P: 11

Hi Guys
I have problem to express the jump process as following ways. Please let me know your ideas~!! Thank you so much.  Let (Xt)t≥0 be an irreducible continuoustime jump process on a nite state space {1,....,N}. Let T = inf{t > 0 : Xt ≠ X0} be the time of the first jump. Assuming that α(1,2) > 0 express P(T > tX0 = 1, XT = 2) in terms of the generator (rate matrix) A  


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