Applications of some formulas for finite Markov chains

DOI10.1016/J.ACHA.2010.02.004zbMATH Open1211.60033OpenAlexW2020886575MaRDI QIDQ617702FDOQ617702

Authors: Maxim J. Goldberg, Seonja Kim 

Publication date: 13 January 2011

Published in: Applied and Computational Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.acha.2010.02.004

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zbMATH Keywords

boundary value problemsFeynman-Kac formulafinite Markov chainsexact expected values for random walkspmf of costs along paths

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

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• Numerical methods for linear boundary value problems based on Feynman-Kac representations
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• A Feynman-Kac path-integral implementation for Poisson's equation using an \(h\)-conditioned Green's function
• On the moments of Markov renewal processes
• Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
• Solving boundary value problems with complex parameters by the Monte Carlo method
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• The Simplest Random Walks for the Dirichlet Problem
• Stochastic methods for Dirichlet problems

Cited In (6)

• Title not available (Why is that?)
• Occurrence probabilities of stochastic paths.
• Explicit transient probabilities of various Markov models
• Some remarks on diffusion distances
• Title not available (Why is that?)
• Some asymptotic formulas for markov chains with applications to simulation^†

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