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Series Expansions for Continuous-Time Markov Processes

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Series Expansions for Continuous-Time Markov Processes
We present exchange formulas that allow to express the stationary distribution of a continuous Markov chain with denumerable state-space having generator matrix Q∗ through a continuous time Markov chain with generator matrix Q. Under suitable stability conditions, numerical approximations can be derived from the exchange formulas, and we show that the algorithms converge at a geometric rate. Applications to sensitivity analysis and bounds on perturbations are discussed as well. Numerical examples are presented to illustrate the numerical efficiency of the proposed algorithm.
Bernd Heidergott, Arie Hordijk, Nicole Leder
Added 28 Jan 2011
Updated 28 Jan 2011
Type Journal
Year 2010
Where IOR
Authors Bernd Heidergott, Arie Hordijk, Nicole Leder
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