Quasi-Stationary Distributions

Quan-Lin Li ()
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Quan-Lin Li: Tsinghua University, Department of Industrial Engineering

Chapter 9 in Constructive Computation in Stochastic Models with Applications, 2010, pp 432-525 from Springer

Abstract: Abstract In this chapter, we study quasi-stationary distributions for blockstructured Markov chains with either finitely-many levels or infinitely-many levels. We derive the RG-factorizations for the β -discounted block-structured transition matrix. We provide conditions for the state α -classification, and derive two sets of expressions for the quasi-stationary distribution. As important examples, we analyze Markov chains of M/G/1 type, Markov chains of GI/M/1 type, Markov chains of GI/G/1 type and level-dependent QBD processes.

Keywords: Stochastic models; RG-factorization; quasi-stationary distribution; β-discounted block-structured transition matrix; state α-classification; decay parameter (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-11492-2_9

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DOI: 10.1007/978-3-642-11492-2_9

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