Embeddable Markov matrices

DOI10.1214/EJP.V15-733MaRDI QIDQ638330zbMATH OpenFDO

Authors E. Brian Davies

Publication date 9 September 2011

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.1693, http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle9cba.html

zbMATH Keywords

eigenvaluesembeddabilityMarkov generatorMarkov matrix

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Computational methods in Markov chains (60J22) Continuous-time Markov processes on discrete state spaces (60J27) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: We give an account of some results, both old and new, about any $nimesn$ Markov matrix that is embeddable in a one-parameter Markov semigroup. These include the fact that its eigenvalues must lie in a certain region in the unit ball. We prove that a well-known procedure for approximating a non-embeddable Markov matrix by an embeddable one is optimal in a certain sense.

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• A multiple coupon collection process and its Markov embedding structure
• The Markov chain embedding problem in a one-jump setting
• On the algebra of equal-input matrices in time-inhomogeneous Markov flows
• The complexity of relating quantum channels to master equations

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