Markov additive processes and Perron-Frobenius eigenvalue inequalities

DOI10.1214/AOP/1019160333MaRDI QIDQ1872152zbMATH OpenOpenAlexFDO

Authors Colm Art O'Cinneide

Publication date 6 May 2003

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1019160333

zbMATH Keywords

Jensen's inequalityfinite-state Markov chainsMarkov additive processesPerron-Frobenius eigenvalue inequalities

Mathematics Subject Classification ID

Inequalities involving eigenvalues and eigenvectors (15A42) Inequalities; stochastic orderings (60E15) Positive matrices and their generalizations; cones of matrices (15B48) Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

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• Markov additive processes. II: Large deviations
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• Random evolutions and the spectral radius of a non-negative matrix
• Some inequalities for the spectral radius of non-negative matrices and applications

Cited in

(6)

• Resolvent positive linear operators exhibit the reduction phenomenon
• Eigenvalue inequalities for the Markov diffusion operator
• Local alignment of Markov chains
• Probabilistic approach to Perron root, the group inverse, and applications
• On comparison of the Perron-Frobenius eigenvalues of two ML-matrices
• Stochastic population dynamics in a Markovian environment implies Taylor's power law of fluctuation scaling

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