Factorization of Markov chains
Let \(A\) be a (sub)stochastic \(d\times d\) matrix, with \(d=\infty\) possible. Existence of a factorization \(I-A=(I-B)(I-C)\) is proved for matrices \(B\) and \(C\) which are in particular triangular. The purpose is to solve in two steps equations \((I-A)x=g\) by recurrence. The author's paper [Sb. Math. 189, No. 12, 1795--1808 (1998); translation from Mat. Sb. 189, No.~12, 59--72 (1998; Zbl 0932.45005)] considered the case \(d<\infty\). This paper is particularly devoted to the case \(d=\infty\), with controls of the infinite sequences determined by recurrence.
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- Computing the stationary distribution of a finite Markov chain through stochastic factorization
- Irreducible decomposition for Markov processes
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- Continuity properties of a factor of Markov chains
- scientific article; zbMATH DE number 2062620
- A martingale decomposition of discrete Markov chains
- On the nonlinear factorization equation in a normed ring
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- LU-factorization versus Wiener-Hopf factorization for Markov chains
- A decomposition theorem for infinite stochastic matrices
- An infinite algebraic system in the irregular case
- On the greatest prime factor of Markov pairs
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