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

  1. Dec 13, 2012 #1

    dyh

    User Avatar

    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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