Uniformization for λ-positive Markov chains

Richardus J. Boucherie; Erik A. van Doorn

doi:10.1080/15326349808807465

Uniformization for λ-positive Markov chains

Richardus J. Boucherie, Erik A. van Doorn

Stochastic Operations Research

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 language	Undefined
Article number	10.1080/15326349808807465
Pages (from-to)	171-186
Number of pages	15
Journal	Communications in statistics : Stochastic models
Volume	14
Issue number	1/2
DOIs	https://doi.org/10.1080/15326349808807465
Publication status	Published - 1998

Keywords

EWI-12856
IR-62352
METIS-140557

Access to Document

10.1080/15326349808807465

http://eprints.eemcs.utwente.nl/secure2/12856/01/smunif.pdf

Cite this

Boucherie, R. J., & van Doorn, E. A. (1998). Uniformization for λ-positive Markov chains. Communications in statistics : Stochastic models, 14(1/2), 171-186. [10.1080/15326349808807465]. https://doi.org/10.1080/15326349808807465

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