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:	2005-09-20
Authors:	Heidergott, Bernd ; Hordijk, Arie ; Uitert, Miranda van
Institutions:	Tinbergen Institute
Subject:	finite-state Markov chain \| (Taylor) series expansion \| measure-valued derivatives \| coupled processors

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 05-086/4
Classification:	C63 - Computational Techniques ; C44 - Statistical Decision Theory; Operations Research
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137181