Autor(en): | Dette, Holger Reuther, Bettina Studden, W. J. Zygmunt, M. |
Titel: | Matrix measures and random walks |
Sprache (ISO): | en |
Zusammenfassung: | In this paper we study the connection between matrix measures and random walks with a tridiagonal block transition matrix. We derive sufficient conditions such that the blocks of the n-step transition matrix of the Markov chain can be represented as integrals with respect to a matrix valued spectral measure. Several stochastic properties of the processes are characterized by means of this matrix measure. In many cases this measure is supported in the interval [−1, 1]. The results are illustrated by several examples including random walks on a grid and the embedded chain of a queuing system. |
Schlagwörter: | block tridiagonal transition matrix canonical moments Chebyshev matrix polynomials Markov chain matrix measure quasi birth and death processes spectral measure |
URI: | http://hdl.handle.net/2003/21653 http://dx.doi.org/10.17877/DE290R-1039 |
Erscheinungsdatum: | 2005-10-12T06:59:06Z |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 475 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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tr25-05.ps | 386.59 kB | Postscript | Öffnen/Anzeigen | |
tr25-05.pdf | DNB | 572.49 kB | Adobe PDF | Öffnen/Anzeigen |
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