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Thread: Kolmogorov equations

  1. #1
    Mar 2010

    Kolmogorov equations

    Where can i find some information on solving continuous markov chains with the kolmogorov equations.

    We have been specifically told that there will be a question of this type on the exam.

    The only example we have been given is a simple two state system where you can basically find the eigenvalues and solve it quite easily. I have spent heaps of time on the internet and even in the library trying to find information on solving it for a 3 state, 4 state system etc, but all i can find is the same example in every book over and over again, the simple two state system

    my lecturer told me that we will get a three state system in the exam and it will have symetry, where can i find some worked examples, or can someone give me an example and show me how to solve it, This is a pretty neat concept but it is frustrating that all the books give a simple example and assume that you are advanced enough to figure the rest out,

    so if theres a mathematical maestro out there i challenge you to explain this concept and gain my admiration and praise! by the way none of my fellow students understand this either!

    And the lecturer refuses to explain it in detail for some reason.
    Last edited by ulysses123; Jun 8th 2011 at 05:35 AM. Reason: spelling mistakes
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