Work

On the algebra of equal-input matrices in time-inhomogeneous Markov flows

Year: 2025

Type: article

Abstract: Markov matrices of equal-input type constitute a widely used model class. The corresponding equal-input generators span an interesting subalgebra of the real matrices with zero row sums. Here, we summarise some of their amazing properties and discuss the corresponding Markov embedding problem, both homogeneous and inhomogeneous in time. In particular, we derive exact and explicit solutions for time-inhomogeneous Markov flows with non-commuting generator families of equal-input type and beyond.

Source: Documenta Mathematica

DOI: 10.4171/dm/997

Authors: Michael Baake, Jeremy Sumner

Institutions: Bielefeld University, University of Tasmania

Language: English

Topic: Probability and Statistical Research

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: diamond

Funder: Deutsche Forschungsgemeinschaft

Awards: G1288578048, G8201362140, SFB 1283: Unsicherheit beherrschen und Zufall sowie Unordnung nutzen in Analysis, Stochastik und deren Anwendungen