A note on the invariant distribution of a quasi-birth-and-death process

DOI10.1088/1751-8113/44/13/135201zbMATH Open1223.60058arXiv1006.0759OpenAlexW1968784795MaRDI QIDQ2995068FDOQ2995068

Authors: Manuel D. De La Iglesia 

Publication date: 20 April 2011

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Abstract: The aim of this paper is to give an explicit formula of the invariant distribution of a quasi-birth-and-death process in terms of the block entries of the transition probability matrix using a matrix-valued orthogonal polynomials approach. We will show that the invariant distribution can be computed using the squared norms of the corresponding matrix-valued orthogonal polynomials, no matter if they are or not diagonal matrices. We will give an example where the squared norms are not diagonal matrices, but nevertheless we can compute its invariant distribution.

Full work available at URL: https://arxiv.org/abs/1006.0759

Recommendations

• Invariant measures for quasi-birth-and-death processes
• A note on two matrices occurring in the solution of quasi-birth-and-death processes
• Quasi-Birth-and-Death Processes, Lattice Path Counting, and Hypergeometric Functions
• Some comments on quasi-birth-and-death processes and matrix measures
• The quasi-stationary behavior of quasi-birth-and-death processes

zbMATH Keywords

invariant distributionquasi birth-death process

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes (60J99) Continuous-time Markov processes on discrete state spaces (60J27)

Cited In (11)

• QBD processes associated with Jacobi-Koornwinder bivariate polynomials and urn models
• Some bivariate stochastic models arising from group representation theory
• Quasi-birth-and-death processes and matrix-valued orthogonal polynomials
• Absorbing-reflecting factorizations for birth-death chains on the integers and their Darboux transformations
• Stochastic Darboux transformations for quasi-birth-and-death processes and urn models
• Quasi-birth-and-death processes and multivariate orthogonal polynomials
• A note on two matrices occurring in the solution of quasi-birth-and-death processes
• Birth-death chains on a spider: spectral analysis and reflecting-absorbing factorization
• Title not available (Why is that?)
• Title not available (Why is that?)
• Matrix Valued Orthogonal Polynomials Arising from Group Representation Theory and a Family of Quasi-Birth-and-Death Processes

This page was built for publication: A note on the invariant distribution of a quasi-birth-and-death process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2995068)