\(LU\)-factorization versus Wiener-Hopf factorization for Markov chains (Q383600)
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English | \(LU\)-factorization versus Wiener-Hopf factorization for Markov chains |
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\(LU\)-factorization versus Wiener-Hopf factorization for Markov chains (English)
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5 December 2013
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Consider Markov chains with a denumerable state space. The generator of such a chain is an infinite matrix (typically indexed by integers, however, other options are included as well). The author opens an interesting approach to study such matrices via a particular form of the LU-factorization. It is shown that, up to a Fourier transform, the approach is a generalization of the Wiener-Hopf factorization method for random walks. A probabilistic interpretation of the results is offered and several examples are analyzed. In particular, the method is applied toward the computation of the invariant measure for a positive recurrent Markov chain.
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Markov chains
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Wiener-Hopf factorization
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random walks
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LU-factorization
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path decomposition
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fluctuation theory
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probabilistic potential theory
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infinite matrices
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