Towards a Theory of Additive Eigenvectors

Abstract

The standard approach in solving stochastic equations is eigenvector decomposition. Using separation ansatz $P(i,t)=u(i)e^{\mu t}$ one obtains standard equation for eigenvectors $Ku=\mu u$, where $K$ is the rate matrix of the master equation. While universally accepted, the standard approach is not the only possibility. Using additive separation ansatz $S(i,t)=W(i)-\nu t$ one arrives at additive eigenvectors. Here we suggest a theory of such eigenvectors. We argue that additive eigenvectors describe conditioned Markov processes and derive corresponding equations. The formalism is applied to one-dimensional stochastic process corresponding to the telegraph equation. We derive differential equations for additive eigenvectors and explore their properties. The proposed theory of additive eigenvectors provides a new description of stochastic processes with peculiar properties.

fixed typos, theory of quasi-stationary distributions was used to derive the equations. moved part of the material to Appendix