On Chiang's explicit solutions for the Kolmogorov differential equations

Larry Zaiqian Shen

Statistics & Probability Letters, 1993, vol. 17, issue 4, 307-313

Abstract: Chiang (1980) gives two explicit solutions for the Kolmogorov differential equations in the finite Markov process for the cases when the intensity matrix V has distinct eigenvalues and when V has multiple eigenvalues. In this paper, we make some generalizations in giving the two solutions in the two cases and then establish the equivalence between the two solutions for both cases.

Keywords: Eigenvalues; eigenvectors; intensity; matrix; forward; equation (search for similar items in EconPapers)
Date: 1993
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