Authors: Dette, Holger
Reuther, Bettina
Title: Some comments on Quasi-Birth-and-Death processes and matrix measures
Language (ISO): en
Abstract: 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. AMS: 60J10, 42C05
Subject Headings: Block tridiagonal infinitesimal generator
Canonical moment
Matrix measure
Quasi-Birth-and-Death process
Spectral measure
Issue Date: 2008-11-26T14:46:31Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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