Jim Daniel's LTAM Seminar Excerpts

Multi-state Markov-chain models: continuous-time probability calculations




Multi-state Markov-chain models: continuous-time probability calculations describes how to perform probability calculations in continuous-time multi-state Markov chains, including by integrals, by the Kolmogorov differential equation, and by Euler's method.. It contains about 9 pages of text. Here is the table of contents:

  • 1.1 Introduction: continuous-time Markov chains
  • 1.2 Probabilities by integrals
    • 1.2.1 The "stay-in-place" probabilities
    • 1.2.2 Example: the permanent-disability model
    • 1.2.3 Example: the two-life model
  • 1.3 Probabilities by the Kolmogorov differential equations
    • 1.3.1 Euler's method

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