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Chapman Kolmogorov Equation

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Definition
ProbabilityStochasticProcesses

Let (Xn)n0Markov(λ,P)(X_n)_{n\ge0}\sim Markov(\lambda,P). Then for each N1N\ge1 and jSj\in S, P(XN=jX0=i)=(PN)ijP(X_N=j|X_0=i)=(P^N)_{ij} Consequently, P(XN=j)=(λPN)jP(X_N=j)=(\lambda P^N)_j