Poisson’s equation for discrete-time single-birth processes

Shuxia Jiang, Yuanyuan Liu and Shuai Yao

Statistics & Probability Letters, 2014, vol. 85, issue C, 78-83

Abstract: We consider Poisson’s equation for discrete-time single-birth processes, and we derive its solutions by solving a linear system of infinitely many equations. We apply the solution of Poisson’s equation to obtain the asymptotic variance. The results are further applied to birth–death processes and the scalar-valued GI/M/1-type Markov chains.

Keywords: Single-birth processes; Poisson’s equation; Central limit theorem (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2013.11.008

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