How to express Jump Process in terms of the generator (rate matrix) A

by dyh
Tags: generator, jump process
 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 continuous-time 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 > t|X0 = 1, XT = 2) in terms of the generator (rate matrix) A --------------------------------------------------------------------------

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