Applied to the master equation, the usual numerical integration methods, such as Runge-Kutta method, become inefficient when the rates associated with various transitions differ by several orders of magnitude. We introduce an integration scheme that remains stable with much larger time increments than can be used in standard methods. When only the stationary distribution is required, a direct iteration method is even more rapid; this method may be extended to construct the quasistationary distribution of a process with an absorbing state. Applications to birth-and-death processes reveal gains in efficiency of two or more orders of magnitude.
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Ronald Dickman (2002) studied this question.