Timeline for Does the variance of a continuous time, time homogeneous, Markov process starting from one point necessarily not decrease?
Current License: CC BY-SA 3.0
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| Dec 11, 2013 at 6:13 | comment | added | ofer zeitouni | The rate matrix. The MC is in continuous time and the jump rates are as I wrote (so the rate matrix has row-sum 0). BTW, one can modify the chain to be irreducible if needed by replacing the two lines I have put at 0 by many loops at $0$ of longer and longer lengths so that at large time, whp you are in a very long loop of length $L_t$ with $L_t\to 0$ as $t\to\infty$ | |
| Dec 11, 2013 at 6:04 | comment | added | Hans | @ofer zeitouni: This Markov chain is in continuous time, and the jump rates are the entries of the transition matrix? | |
| Dec 11, 2013 at 5:59 | history | edited | ofer zeitouni | CC BY-SA 3.0 |
added 95 characters in body
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| Dec 11, 2013 at 5:47 | history | answered | ofer zeitouni | CC BY-SA 3.0 |