Re: Distribution of state occupancies in a multistate Markov model
- To: mathgroup at smc.vnet.net
- Subject: [mg104390] Re: Distribution of state occupancies in a multistate Markov model
- From: fd <fdimer at gmail.com>
- Date: Fri, 30 Oct 2009 02:17:52 -0500 (EST)
- References: <hc92bk$edu$1@smc.vnet.net>
Seth. Well, I'm not sure if my approach is the one that suits what you need, but let me try. I would start looking if the chapman-kolmogorov equation can be analytically solved P(x1,t1|x0,t0)=Integrate P(x1,t1|x2,t2)P(x2,t2|x0,t0) dx2 integrate over all possible states x2. Depending on your transition matrix, which are the P(x1,t1|x2,t2)'s, you may be able to perform this integration.. please, take a look in Gardiner's book I mention below..on mackay's book there are a few comments on chap 30.. refs: David J. C. MacKay, Information Theory, Inference and learning algorithms, Cambridge You can find a copy of this book on-line if you agree not to print it.. another good reference is the book by the new zealander physicist, C. W. Gardiner, Handbook of Stochastic methods good luck