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Discrete-time dynamics

Here we record the discrete-time version of the master equation described earlier. We follow Costantini and Garibaldi (1999) in the derivation.

Given a discrete-time Markov chain with state vector {s(t), t = 0, 1, 2,...}, it satisfies

and the entry probability

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Source: Aoki M.. Modeling Aggregate Behaviour & Fluctuations in Economics. Cambridge: Cambridge University Press,2002. — 281 p.. 2002

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