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Quantitative Finance · Glossaire

Qu'est-ce que « Detailed balance » ?

Definition 8.5 Quantitative Methods · Chapitre 8 — Markov Chains and Queues

A distribution π\pi satisfies detailed balance with a generator if πiqij=πjqji\pi_iq_{ij} = \pi_jq_{ji} for all i,ji, j: in stationarity every transition is as frequent as its reverse, and the chain run backwards in time has the same law (it is reversible).

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