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Why is it that in continuous-time Markov chains we usually have

$$\sum_{j \neq i} q_{ij}(t) = -q_{ii}(t)$$

or alternatively, the transition rate corresponding to the system remaining in place is defined by the equation

$$q_{ii}(t) = -\sum_{j \neq i} q_{ij}(t).$$

Is this always true?

amjb
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1 Answers1

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The sum of all the $q_{ij}$ with fixed $i$ is the rate of change of the probability to be anywhere started from $i$, which must be zero since this probability is 1 at all times.

Ian
  • 101,645