Some comments on quasi-birth-and-death processes and matrix measures

In this paper we explore the relation between matrix measures and Quasi-Birth-and-Death processes. We derive an integral representation of the transition function in terms of a matrix valued spectral measure and corresponding orthogonal matrix polynomials. We characterize several stochastic properties of Quasi-Birth-and-Death processes by means of this matrix measure and illustrate the theoretical results by several examples.

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Year of publication:	2008
Authors:	Dette, Holger ; Reuther, Bettina
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	Block tridiagonal infinitesimal generator \| Quasi-Birth-and-Death processes \| spectral measure \| matrix measure \| canonical moments

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2008,13
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009216952