The deviation matrix of a continuous-time Markov chain

Autor: Coolen-Schrijner, P., van Doorn, E.A.
Jazyk: angličtina
Rok vydání: 2001
Předmět:
Popis: The deviation matrix of an ergodic, continuous-time Markov chain with transition probability matrix $P(.)$ and ergodic matrix $\Pi$ is the matrix $D \equiv \int_0^{\infty} (P(t)-\Pi)dt$. We give conditions for $D$ to exist and discuss properties and a representation of $D$. The deviation matrix of a birth-death process is investigated in detail. We also describe a new application of deviation matrices by showing that a measure for the convergence to stationarity of a stochastically increasing Markov chain can be expressed in terms of the elements of the deviation matrix of the chain.
Databáze: OpenAIRE