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Series Expansions for Finite-State Markov Chains

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Author Info
Bernd Heidergott () (Faculty of Economics, Vrije Universiteit Amsterdam)
Arie Hordijk () (Leiden University, Mathematical Institute)
Miranda van Uitert () (Faculty of Economics, Vrije Universiteit Amsterdam)

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Abstract

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.

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File URL: http://www.tinbergen.nl/discussionpapers/05086.pdf
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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 05-086/4.

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Date of creation: 20 Sep 2005
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Handle: RePEc:dgr:uvatin:20050086

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Web page: http://www.tinbergen.nl/

For technical questions regarding this item, or to correct its listing, contact: (Walther Schoonenberg).

Related research
Keywords: finite-state Markov chain; (Taylor) series expansion; measure-valued derivatives; coupled processors;

Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Statistical Decision Theory; Operations Research

This paper has been announced in the following NEP Reports:

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This page was last updated on 2009-12-10.

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