Equivalence of Continuous-Time Markov Chains and Linear Dynamical Systems

Abstract

The purpose of this short note is to record that an analogue of the following result, which is known for discrete-time linear dynamical systems, also holds in the continuous-time setting. The dynamics of a $d$-state Markov chain is governed by that of a linear dynamical system of dimension at most $d-1$; conversely, a linear dynamical system of dimension $d-1$ can be "embedded" into a Markov chain with $d$ states.