Poisson’s equation for discrete-time single-birth processes

We consider Poisson’s equation for discrete-time single-birth processes, and we derive its solutions by solving a linear system of infinitely many equations. We apply the solution of Poisson’s equation to obtain the asymptotic variance. The results are further applied to birth–death processes and the scalar-valued GI/M/1-type Markov chains.

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Year of publication:	2014
Authors:	Jiang, Shuxia ; Liu, Yuanyuan ; Yao, Shuai
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 85.2014, C, p. 78-83
Publisher:	Elsevier
Subject:	Single-birth processes \| Poisson’s equation \| Central limit theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010743578