Uniformization for λ-positive Markov chains

Richardus J. Boucherie, Erik A. van Doorn

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

We show that a variant of the uniformization method for the numerical calculation of transient state probabilities of positive recurrent Markov chains, in which the truncation error can be made arbitrarily small uniformly over time, can be extended to lambda-positive Markov chains.
Original languageUndefined
Article number10.1080/15326349808807465
Pages (from-to)171-186
Number of pages15
JournalCommunications in statistics : Stochastic models
Volume14
Issue number1/2
DOIs
Publication statusPublished - 1998

Keywords

  • EWI-12856
  • IR-62352
  • METIS-140557

Cite this

Boucherie, Richardus J. ; van Doorn, Erik A. / Uniformization for λ-positive Markov chains. In: Communications in statistics : Stochastic models. 1998 ; Vol. 14, No. 1/2. pp. 171-186.
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author = "Boucherie, {Richardus J.} and {van Doorn}, {Erik A.}",
year = "1998",
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volume = "14",
pages = "171--186",
journal = "Stochastic models",
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Boucherie, RJ & van Doorn, EA 1998, 'Uniformization for λ-positive Markov chains', Communications in statistics : Stochastic models, vol. 14, no. 1/2, 10.1080/15326349808807465, pp. 171-186. https://doi.org/10.1080/15326349808807465

Uniformization for λ-positive Markov chains. / Boucherie, Richardus J.; van Doorn, Erik A.

In: Communications in statistics : Stochastic models, Vol. 14, No. 1/2, 10.1080/15326349808807465, 1998, p. 171-186.

Research output: Contribution to journal › Article › Academic › peer-review

TY - JOUR

T1 - Uniformization for λ-positive Markov chains

AU - Boucherie, Richardus J.

AU - van Doorn, Erik A.

PY - 1998

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N2 - We show that a variant of the uniformization method for the numerical calculation of transient state probabilities of positive recurrent Markov chains, in which the truncation error can be made arbitrarily small uniformly over time, can be extended to lambda-positive Markov chains.

AB - We show that a variant of the uniformization method for the numerical calculation of transient state probabilities of positive recurrent Markov chains, in which the truncation error can be made arbitrarily small uniformly over time, can be extended to lambda-positive Markov chains.

KW - EWI-12856

KW - IR-62352

KW - METIS-140557

U2 - 10.1080/15326349808807465

DO - 10.1080/15326349808807465

M3 - Article

VL - 14

SP - 171

EP - 186

JO - Stochastic models

JF - Stochastic models

SN - 1532-6349

IS - 1/2

M1 - 10.1080/15326349808807465

ER -

Boucherie RJ, van Doorn EA. Uniformization for λ-positive Markov chains. Communications in statistics : Stochastic models. 1998;14(1/2):171-186. 10.1080/15326349808807465. https://doi.org/10.1080/15326349808807465

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