Oscillatory banded Hessenberg matrices, multiple orthogonal polynomials and random walks
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Publication:6394685
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Other special orthogonal polynomials and functions (33C47) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Jacobi (tridiagonal) operators (matrices) and generalizations (47B36) Linear difference operators (47B39)
Abstract: A spectral Favard theorem for bounded banded lower Hessenberg matrices that admit a positive bidiagonal factorization is found. The large knowledge on the spectral and factorization properties of oscillatory matrices leads to this spectral Favard theorem in terms of sequences of multiple orthogonal polynomials of types I and II with respect to a set of positive Lebesgue-Stieltjes~measures. Also a multiple Gauss quadrature is proven and corresponding degrees of precision are found. This spectral Favard theorem is applied to Markov chains with -diagonal transition matrices, i.e. beyond birth and death, that admit a positive stochastic bidiagonal factorization. In the finite case, the Karlin-McGregor spectral representation is given. It is shown that the Markov chains are recurrent and explicit expressions in terms of the orthogonal polynomials for the stationary distributions are given. Similar results are obtained for the countable infinite Markov chain. Now the Markov chain is not necessarily recurrent, and it is characterized in terms of the first measure. Ergodicity of the Markov chain is discussed in terms of the existence of a mass at , which is an eigenvalue corresponding to the right and left eigenvectors.
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