QuasiStationaryDistribution: Compute the quasi-stationary distribution for a terminating...

In Uffe-H-Thygesen/SDEtools: Utilities for Stochastic Differential Equations

Compute the quasi-stationary distribution for a terminating Continuous Time Markov Chain

Description

QuasiStationaryDistribution compute the quasi-stationary distribution phi for a Continuous Time Markov Chain given by a sub-generator G, which is given by the equations

phi

Usage

QuasiStationaryDistribution(G)

Arguments

G	Sub-generator of a CTMC: A quadratic matrix with non-negative off-diagonal elements and non-positive row sums

Value

A list containing: vector, a vector with non-negative elements, containing the stationary distribution value, minus the corresponding eigenvalue, i.e., the decay rate.

Examples

xgrid <- seq(0,1,0.01)
G <- fvade(u=function(x)5,D=function(x)1,xgrid=xgrid,bc="a")
sol <- QuasiStationaryDistribution(G)
plot(cell.centers(xgrid),sol$vector/diff(xgrid),main=paste("Decay rate",sol$value))

Uffe-H-Thygesen/SDEtools documentation built on Jan. 15, 2025, 6:41 p.m.