Abstract
The evolution of a continuous time Markov process with a finite number of states is usually calculated by the Master equation - a linear differential equations with a singular generator matrix. We derive a general method for reducing the dimensionality of the Master equation by one by using the probability normalization constraint, thus obtaining a affine differential equation with a (non-singular) stable generator matrix. Additionally, the reduced form yields a simple explicit expression for the stationary probability distribution, which is usually derived implicitly. Finally, we discuss the application of this method to stochastic differential equations.
Connections
Explore this paper’s authors, topics and related work.
Building this map preview
BZPEER is loading the nearby papers, people, topics and institutions for this page.
Reviews 0
Write a review
No reviews yet.
Discussion 0
Add a comment
No comments yet.