Some Comments on Quasi-Birth-and-Death Processes and Matrix Measures

Holger Dette and Bettina Reuther

Journal of Probability and Statistics, 2010, vol. 2010, 1-23

Abstract:

We explore the relation between matrix measures and quasi-birth-and-death processes. We derive an integral representation of the transition function in terms of a matrix-valued spectral measure and corresponding orthogonal matrix polynomials. We characterize several stochastic properties of quasi-birth-and-death processes by means of this matrixmeasure and illustrate the theoretical results by several examples.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:730543

DOI: 10.1155/2010/730543

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