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Lecture
Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
This lecture covers the concept of continuous time Markov chains, defined on a finite state space, with initial probabilities, jump rates, and jump probabilities. The Markov chain stays at a state for an exponential amount of time before jumping to another state. Two constructions are presented, one based on independent sequences of exponential random variables and the other on Poisson processes. The lecture also introduces Q-matrices, which are matrices satisfying specific conditions related to the Markov chain transitions.