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I have (below) an attempt at an R script to find the limit distribution of a continuous-time Markov process, using the formulae outlined at http://www.uwm.edu/~ziyu/ctc.pdf, page 5. First, is there a better exposition of a practical algorithm for doing this? I have not found an R package that does this specifically, nor anything on the web. Second, the script below will give the right

The integral of any probability density from -Inf to Inf should equal 1, correct? I don't understand last result below. > integrate(function(x) dnorm(x, 0,1), -Inf, Inf) 1 with absolute error < 9.4e-05 > integrate(function(x) dnorm(x, 100,10), -Inf, Inf) 1 with absolute error < 0.00012 > integrate(function(x) dnorm(x, 500,50), -Inf, Inf) 8.410947e-11 with absolute error <