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Markov Process: T T T S Itoj Jisnotequaltoi Q I

This document provides an overview of Markov processes. It defines a Markov process as a stochastic process where the future evolution depends only on the present state and not the past. It describes how in a Markov process, transitions between discrete states occur randomly over time according to exponential distributions, and the probability of transitioning to a new state only depends on the current state. The rates of transitions between states are defined by the generator matrix Q. The stationary distribution of state probabilities can be obtained by solving the balance equations in vector-matrix form.

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Neelkant Newra
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84 views1 page

Markov Process: T T T S Itoj Jisnotequaltoi Q I

This document provides an overview of Markov processes. It defines a Markov process as a stochastic process where the future evolution depends only on the present state and not the past. It describes how in a Markov process, transitions between discrete states occur randomly over time according to exponential distributions, and the probability of transitioning to a new state only depends on the current state. The rates of transitions between states are defined by the generator matrix Q. The stationary distribution of state probabilities can be obtained by solving the balance equations in vector-matrix form.

Uploaded by

Neelkant Newra
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Markov process

Page 1

Markov Process

Neelkant Newra(18111040)

A stochastic process whose evolution after a given time t does not depend on the evolution
before t , given that the value of the process at t is fixed. A Markov chain is a discrete-time
process for which the future behaviour, given the past and the present, only depends on the
present and not on the past. A Markov process is the continuous-time version of a Markov chain.

In a Markov process we have a discrete set of state S . However, the transition behaviour is
different from that in a Markov chain. In each state there are a number of possible events that can
cause a transition. The event that causes a transition state i to j , where j is not equ al to i ,
takes place after an exponential amount of time, say with parameter qij . As a result, in this model
transitions takes place at random points in time. According to the properties of exponential
random variables

In state i a transition takes place, after an exponential amount of time, with parameter

∑
qi j

j≠i
The system makes a transition to state j with probability

∑
pij := qij / qik

k≠i
And

∑
qii := − qij , i ϵ S

j≠i

The matrix Q with element qij is called the generator of the Markov process. The definition of qij
is in state i at time t converses to a limit π as t tends to infinity. The randomness of the time
system spends in each state guarantees that the probability Pi(t) converse to the limit π . The
limiting probabilities can again be computed from the balance equations. If the system is in state
i, then events that cause the system to make transition to state j occurs with a frequency or rate
qij . So the mean number of transition per time unit from i to j is equ al to pi qij . This leads to
the balance equations

∑ ∑
Pi qij = pj qji, i ϵS

j≠i j≠i

∑
or 0= pj qji

jϵS

In vector-matrix notation this becomes, with p the row vector with element π

PQ = 0

The solution of the set of this equation is unique

Together with the normalised equation is

∑
Pi = 1
iϵS

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