Path integrals for continuous-time Markov chains

Pollett, P.K. and Stefanov, V.T.

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Abstract: This note presents a method of evaluating the distribution of a path integral for Markov chains on a countable state space. We illustrate the method with reference to several models, including birth-death processes and the birth, death and catastrophe process.

Keywords: Hitting times; Extinction times; Population processes.

Acknowledgement: This worked was funded by the Australian Research Council.

The authors:

• Phil Pollett, Discipline of Mathematics, The University of Queensland. pkp@maths.uq.edu.au
• Valeri Stefanov, Department of Mathematics, The University of Western Australia. stefanov@maths.uwa.edu.au

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Last modified: 24th April 2002