The exponential-dual matrix method: Applications to Markov chain analysis

DOI10.1090/CONM/774/15575MaRDI QIDQ5024709zbMATH OpenOpenAlexFDO

Authors Gerardo Rubino, Alan Krinik

Publication date 27 January 2022

Published in Stochastic Processes and Functional Analysis (Search for Journal in Brave)

Full work available at URL https://hal.inria.fr/hal-03260400/file/Rubino-Krinik.pdf

zbMATH Keywords

catastrophesclosed-formsdual processdualityexponential matrixexponential-dual matrixgeneratorMarkov chainsMarkov processestransient analysistransition rate matrixuniformization

Mathematics Subject Classification ID

Linear transformations, semilinear transformations (15A04) Matrix exponential and similar functions of matrices (15A16) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35) Queueing theory (aspects of probability theory) (60K25)

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Cited in

(2)

• Ramaswami's duality and probabilistic algorithms for determining the rate matrix for a structured GI/M/1 Markov chain
• Explicit transient probabilities of various Markov models

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