Matrix calculations for moments of Markov processes

DOI10.1017/APR.2022.8zbMATH Open1512.60047arXiv1909.03320OpenAlexW2971451516WikidataQ114119629 ScholiaQ114119629MaRDI QIDQ6043463FDOQ6043463

Authors: Andrew Daw, Jamol Pender 

Publication date: 5 May 2023

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: Matryoshka dolls, the traditional Russian nesting figurines, are known world-wide for each doll's encapsulation of a sequence of smaller dolls. In this paper, we identify a large class of Markov process whose moments are easy to compute by exploiting the structure of a new sequence of nested matrices we call Matryoshkhan matrices. We characterize the salient properties of Matryoshkhan matrices that allow us to compute these moments in closed form at a specific time without computing the entire path of the process. This speeds up the computation of the Markov process moments significantly in comparison to traditional differential equation methods, which we demonstrate through numerical experiments. Through our method, we derive explicit expressions for both transient and steady-state moments of this class of Markov processes. We demonstrate the applicability of this method through explicit examples such as shot-noise processes, growth-collapse processes, linear birth-death-immigration processes, and affine stochastic differential equations from the finance literature. We also show that we can derive explicit expressions for the self-exciting Hawkes process, for which finding closed form moment expressions has been an open problem since its introduction in 1971. In general, our techniques can be used for any Markov process for which the infinitesimal generator of an arbitrary polynomial is itself a polynomial of equal or lower order

Full work available at URL: https://arxiv.org/abs/1909.03320

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zbMATH Keywords

momentsMarkov processespolynomial processesmatryoshkan matrices

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Markov semigroups and applications to diffusion processes (47D07) Continuous-time Markov processes on general state spaces (60J25)

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