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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)

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://papers.tinbergen.nl/05086.pdf
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Bibliographic 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
Date of revision:
Handle: RePEc:dgr:uvatin:20050086

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

Related research

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

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Cited by:
  1. Abbas, K. & Heidergott, B.F. & Aissani, D., 2011. "A Taylor series expansion approach to the functional approximation of finite queues," Serie Research Memoranda 0049, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  2. Heidergott, B. & Leahu, H., 2008. "Differentiability of Product Measures," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

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