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On Chiang's explicit solutions for the Kolmogorov differential equations

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  • Shen, Larry Zaiqian

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.

Suggested Citation

  • Shen, Larry Zaiqian, 1993. "On Chiang's explicit solutions for the Kolmogorov differential equations," Statistics & Probability Letters, Elsevier, vol. 17(4), pages 307-313, July.
    • Handle: RePEc:eee:stapro:v:17:y:1993:i:4:p:307-313
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