Some comments on quasi-birth-and-death processes and matrix measures (Q609715)

Summary: We explore the relation between matrix measures and quasi-birth-and-death processes. We derive an integral representation of the transition function in terms of a matrix-valued spectral measure and corresponding orthogonal matrix polynomials. We characterize several stochastic properties of quasi-birth-and-death processes by means of this matrix measure and illustrate the theoretical results by several examples.