Some comments on Quasi-Birth-and-Death processes and matrix measures
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Date
2008-11-26T14:46:31Z
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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
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Block tridiagonal infinitesimal generator, Canonical moment, Matrix measure, Quasi-Birth-and-Death process, Spectral measure