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
Publisher:	Dortmund : Technische Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Block tridiagonal infinitesimal generator \| Quasi-Birth-and-Death processes \| spectral measure \| matrix measure \| canonical moments

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Series:	Technical Report ; 2008,13
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	600068161 [GVK] hdl:10419/36597 [Handle] RePEc:zbw:sfb475:200813 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010300676