Markov processes and generator
Let
be a differentiable semi-goup of Markov transition matrices with the infinitesimal matrix (generator)
. Assuming that
, how do you prove that for every
all the matrix entries of
are
?
(Prove then that there is a unique stationary distribution
for the semi-group of transition matrices.)
Note there is a hint: represent
as
with a constant c sufficiently large so that to make all the elements of the matrix
non-negative.
The main difficulty comes from the diagonal elements of
.
Thanks for your help.