Feb 24, 2026 · I am analyzing a discrete-time Markov chain that can grow exponentially but also suffers from frequent, severe drops. I want to find the exact probability that it reaches a certain threshold …

Feb 17, 2026 · 4 That "Fundamental Theorem of Markov Chains" is an application of the Perron-Frobenius Theorem from linear algebra; see this subheading of that Wikipedia link. There is an …

Feb 11, 2026 · A complication is that we're working in the time-inhomogeneous case; I found Norris' Markov Chains to be a good reference for the time-homogeneous case and worked out Chapters 1 …

Mar 29, 2024 · @AugustoSantos although it may not be Markov, based on the entries in the above matrix, can one determine probabilities of starting in states 1 or 2 and transitioning to 3 and vice versa?

Nov 27, 2024 · Yes, this is a version of the Chapman-Kolmogorov equation. Let $ (Z_0, Z_1, Z_2)$ be a Markov chain taking values in some finite or countable space.

Sep 30, 2023 · A Gauss-Markov process is a random process that is both a Gaussian process and a Markov process. What is the difference between them? Are there Gauss-Markov processes that are …

Jun 23, 2025 · A very common assumption when dealing with Markov processes is that the transition probabilities (or transition rates in the continuous time context) do no vary with time. This condition is …

Mar 31, 2024 · Markov Property of a Ito Process Ask Question Asked 1 year, 11 months ago Modified 1 year, 11 months ago

Apr 14, 2024 · Theorem 1 (The Fundamental Theorem of Markov Chains): Let $X_0, X_1, \ldots$ be a Markov chain over a finite state space, with transition matrix $P$. Suppose that the chain is …

Jul 23, 2010 · 7 Markov chains, especially hidden Markov models are hugely important in computation linguistics. A hidden Markov model is one where we can't directly view the state, but we do have …