Asymptotic Analysis

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

Chapter 4 in Constructive Computation in Stochastic Models with Applications, 2010, pp 176-215 from Springer

Abstract: Abstract In this chapter, we consider asymptotic behavior for the stationary probability vector of any ergodic Markov chain of GI/G/1 type, and provide conditions under which the stationary probability vector is either light-tailed or heavy-tailed by means of the RG-factorization. At the same time, we provide expressions for both the light tail and the heavy tail. Note that the conditions and expressions can be completely determined by the repeating row and the boundary row.

Keywords: stochastic model; Markov chain of GI/G/1 type; RG-factorization; asymptotic analysis; light tail; geometric tail; semi- geometric tail; heavy tail; long tail; subexponential; regularly varying (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_4

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DOI: 10.1007/978-3-642-11492-2_4

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