LU-factorization versus Wiener-Hopf factorization for Markov chains

DOI10.1007/S10440-013-9799-2MaRDI QIDQ383600zbMATH OpenOpenAlexFDO

Authors Vincent Vigon

Publication date 5 December 2013

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10440-013-9799-2

zbMATH Keywords

Markov chainsinfinite matricesrandom walksfluctuation theoryprobabilistic potential theoryWiener-Hopf factorizationpath decompositionLU-factorization

Mathematics Subject Classification ID

Factorization of matrices (15A23) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Probabilistic potential theory (60J45)

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Cited in

(5)

• Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
• The spectral matrices associated with the stochastic Darboux transformations of random walks on the integers
• Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains
• scientific article; zbMATH DE number 3949433 (Why is no real title available?)
• Stochastic LU factorizations, Darboux transformations and urn models

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