Spectral computations for birth and death chains

We consider the spectrum of birth and death chains on an n-path. An iterative scheme is proposed to compute any eigenvalue with exponential convergence rate independent of n. This allows one to determine the whole spectrum in order n2 elementary operations. Using the same idea, we also provide a lower bound on the spectral gap, which is of the correct order on some classes of examples.

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Year of publication:	2014
Authors:	Chen, Guan-Yu ; Saloff-Coste, Laurent
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 1, p. 848-882
Publisher:	Elsevier
Subject:	Birth and death chains \| Spectrum

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

Persistent link: https://www.econbiz.de/10010875084