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Quantitative Finance · शब्दावली

Generator matrix, jump chain क्या है?

अन्य नाम: generator matrix · jump chain

Definition 8.2 Quantitative Methods · अध्याय 8 — Markov Chains and Queues

The generator matrix of a continuous-time chain is L=(qij)\mathcal L = (q_{ij}) with qij=lim⁡t↓0Pij(t)/t≥0q_{ij} = \lim_{t\downarrow0}P_{ij}(t)/t \ge 0 for j≠ij \ne i, the rate of jumps from ii to jj, and qii=−∑j≠iqijq_{ii} = -\sum_{j\ne i}q_{ij}. The jump chain is the discrete-time chain of the states visited, with transition probabilities qij/qiq_{ij}/q_i, where qi=−qiiq_i = -q_{ii}.

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