Series Expansions for Finite-State Markov Chains

This paper provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm.

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Year of publication:	2005
Authors:	Heidergott, Bernd ; Hordijk, Arie ; van Uitert, Miranda
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	finite-state Markov chain \| (Taylor) series expansion \| measure-valued derivatives \| coupled processors

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Series:	Tinbergen Institute Discussion Paper ; 05-086/4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	837180147 [GVK] hdl:10419/86261 [Handle] RePEc:dgr:uvatin:20050086 [RePEc]
Classification:	C63 - Computational Techniques ; C44 - Statistical Decision Theory; Operations Research
Source:	EconStor

Persistent link: https://www.econbiz.de/10010325224