Two classes of time-inhomogeneous Markov chains: Analysis of the periodic case (Q928208)

The authors study the time-varying Markov chains of the \(M/G/1\) and \(GI/M/1\) types for which their one step transitions depend on the times of the transitions. Earlier \textit{G. Yin} and \textit{H. Zhang} [SIAM J. Appl. Math., 65, No.~2, 567--586 (2005; Zbl 1073.60072)] obtained the results for a quasi-birth-death Markov chain for which the levels vary at a slower rate than the phases within the level. In this paper there is no assumption of slow varying rates and of the finiteness of the Markov chain. They consider also the discrete time case and use the matrix-analytic approach when the rates are periodic.