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Thread Subject:
Simulating a sample evolution of continuous time Markov process

Subject: Simulating a sample evolution of continuous time Markov process

From: Sha

Date: 24 Apr, 2013 14:42:10

Message: 1 of 1

Let r(t) be a continuous time Markov process with two states as 1,2. The transition rate matrix Q for r(t) is [-0.5 0.5; 1 -1].

Can anyone help me to simulate a sample evolution of r(t) vs t?

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