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Multiplicatively closed Markov models must form Lie algebras
We prove that the probability substitution matrices obtained from a continuous-time Markov chain form a multiplicatively closed set if and only if the rate matrices associated with the chain form a linear space spanning a Lie algebra. The key original contribution we make is to overcome an obstruction, due to the presence of inequalities that are unavoidable in the probabilistic application, which prevents free manipulation of terms in the Baker–Campbell–Haursdorff formula.
Funding
Australian Research Council
History
Publication title
ANZIAM JournalVolume
59Pagination
240-246ISSN
1446-1811Department/School
School of Natural SciencesPublisher
Australian Mathematics Publ Assoc IncPlace of publication
Mathematics Dept Australian National Univ, Canberra, Australia, Act, 0200Rights statement
Copyright 2017 Australian Mathematical SocietyRepository Status
- Restricted