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Mathematics > Probability

Title: On the algebra of equal-input matrices in time-inhomogeneous Markov flows

Authors: Michael Baake (Bielefeld), Jeremy Sumner (Hobart)
Abstract: Markov matrices of equal-input type constitute a widely used model class. The corresponding equal-input generators span an interesting subalgebra of the real matrices with zero row sums. Here, we summarise some of their amazing properties and discuss the corresponding Markov embedding problem, both homogeneous and inhomogeneous in time. In particular, we derive exact and explicit solutions for time-inhomogeneous Markov flows with non-commuting generator families of equal-input type and beyond.
Comments: 18 pages, with an appendix on Peano--Baker series and Magnus expansion
Subjects: Probability (math.PR); Classical Analysis and ODEs (math.CA)
MSC classes: 60J27, 34A05, 15A16
Cite as: arXiv:2404.11222 [math.PR]
  (or arXiv:2404.11222v1 [math.PR] for this version)

Submission history

From: Michael Baake [view email]
[v1] Wed, 17 Apr 2024 10:11:01 GMT (20kb)

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