Matrix measures and random walks

dc.contributor.author	Dette, Holger
dc.contributor.author	Reuther, Bettina
dc.contributor.author	Studden, W. J.
dc.contributor.author	Zygmunt, M.
dc.date.accessioned	2005-10-12T06:59:06Z
dc.date.available	2005-10-12T06:59:06Z
dc.date.issued	2005-10-12T06:59:06Z
dc.description.abstract	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.	en
dc.format.extent	395871 bytes
dc.format.extent	586752 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/postscript
dc.identifier.uri	http://hdl.handle.net/2003/21653
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-1039
dc.language.iso	en
dc.subject	block tridiagonal transition matrix	en
dc.subject	canonical moments	en
dc.subject	Chebyshev matrix polynomials	en
dc.subject	Markov chain	en
dc.subject	matrix measure	en
dc.subject	quasi birth and death processes	en
dc.subject	spectral measure	en
dc.subject.ddc	004
dc.title	Matrix measures and random walks	en
dc.type	Text
dc.type.publicationtype	report	en
dcterms.accessRights	open access

Files

Now showing 1 - 2 of 2

Now showing 1 - 1 of 1