Eigenvalues and eigenvectors of tau matrices with applications to Markov processes and economics (Q2041761)

The authors study the spectral properties of the generator of a matrix algebra in the context of matrix displacement decompositions. They derive precise asymptotics for the outliers and the associated eigenvectors. Further, they obtain determining equations for the eigenvalues and eigenvectors, with a focus on the hyperbolic equations for the outlier eigenpairs. The full eigendecomposition is constructed in a particular case. Finally, they present applications to queuing models, random walks, diffusion processes, and economics, with a special emphasis on wealth/income inequality and portfolio dynamics.