Markov additive processes and Perron-Frobenius eigenvalue inequalities

DOI10.1214/aop/1019160333zbMath1025.15027MaRDI QIDQ1872152

Colm Art O'Cinneide

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1019160333

zbMATH Keywords

Jensen's inequality; finite-state Markov chains; Markov additive processes; Perron-Frobenius eigenvalue inequalities

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

15A42: Inequalities involving eigenvalues and eigenvectors

15B48: Positive matrices and their generalizations; cones of matrices

60G40: Stopping times; optimal stopping problems; gambling theory

60J27: Continuous-time Markov processes on discrete state spaces

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Resolvent positive linear operators exhibit the reduction phenomenon, Stochastic population dynamics in a Markovian environment implies Taylor's power law of fluctuation scaling, Local alignment of Markov chains, Probabilistic approach to Perron root, the group inverse, and applications

Cites Work

• Markov additive processes. I: Eigenvalue properties and limit theorems
• Markov additive processes. II: Large deviations
• On the spectral radius of the product of matrix exponentials
• Non-negative matrices and Markov chains. 2nd ed
• Eigenvalue inequalities for products of matrix exponentials
• Some inequalities for the spectral radius of non-negative matrices and applications
• Random evolutions and the spectral radius of a non-negative matrix
• A CONVEXITY PROPERTY OF POSITIVE MATRICES
• Markov additive processes. I
• Inequalities: theory of majorization and its applications
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