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Kolmogorov equations (Markov jump process)
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Kolmogorov equations (Markov jump process) : ウィキペディア英語版
Kolmogorov equations (Markov jump process)

In the context of a continuous-time Markov process, the Kolmogorov equations, including Kolmogorov forward equations and Kolmogorov backward equations, are a pair of systems of differential equations that describe the time-evolution of the probability P(x,s;y,t), where x, y \in \Omega (the state space) and t > s are the final and initial time respectively.
==The equations==

For the case of enumerable state space we put i,j in place of x, y.
Kolmogorov forward equations read
: \frac(s;t) = \sum_k P_(s;t) A_(t)
while Kolmogorov backward equations are
: \frac(s;t) = -\sum_k A_(s) P_(s;t)
The functions P_(s;t) are continuous and differentiable in both time arguments. They represent the
probability that the system that was in state i at time s jumps to state j at some later time t > s . The continuous quantities A_(t) satisfy
: A_(t) = \left(ウィキペディア(Wikipedia)

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