Series Expansions for Finite-State Markov Chains

Bernd Heidergott (), Arie Hordijk () and Miranda van Uitert ()
Additional contact information
Bernd Heidergott: Faculty of Economics, Vrije Universiteit Amsterdam
Arie Hordijk: Leiden University, Mathematical Institute
Miranda van Uitert: Faculty of Economics, Vrije Universiteit Amsterdam

No 05-086/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper led to a publication in 'Operations Research' , 2009, 58(3), 756-767.

This paper provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm.

Keywords: finite-state Markov chain; (Taylor) series expansion; measure-valued derivatives; coupled processors (search for similar items in EconPapers)
JEL-codes: C44 C63 (search for similar items in EconPapers)
Date: 2005-09-20
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20050086

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