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

DOI10.1088/1751-8113/44/13/135201MaRDI QIDQ2995068zbMATH OpenOpenAlexFDO

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)

Full work available at URL https://arxiv.org/abs/1006.0759, https://idus.us.es/xmlui/handle/11441/42408

zbMATH Keywords

invariant distributionquasi birth-death process

Mathematics Subject Classification ID

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

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.

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(12)

• Some bivariate stochastic models arising from group representation theory
• Absorbing-reflecting factorizations for birth-death chains on the integers and their Darboux transformations
• Birth-death chains on a spider: spectral analysis and reflecting-absorbing factorization
• Stochastic Darboux transformations for quasi-birth-and-death processes and urn models
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• Quasi-birth-and-death processes and matrix-valued orthogonal polynomials
• Matrix Valued Orthogonal Polynomials Arising from Group Representation Theory and a Family of Quasi-Birth-and-Death Processes
• A note on two matrices occurring in the solution of quasi-birth-and-death processes
• Invariant measures for quasi-birth-and-death processes
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• QBD processes associated with Jacobi-Koornwinder bivariate polynomials and urn models

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