The Q-matrix problem 2 : Kolmogorov backward equations
David Williams (1976)
Séminaire de probabilités de Strasbourg
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David Williams (1976)
Séminaire de probabilités de Strasbourg
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David Williams (1978)
Séminaire de probabilités de Strasbourg
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Takacs, Christiane (2006)
Mathematica Pannonica
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Marius Losifescu (1979)
Banach Center Publications
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Kalashnikov, Vladimir V. (1994)
Journal of Applied Mathematics and Stochastic Analysis
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Franco Giannessi (2002)
RAIRO - Operations Research - Recherche Opérationnelle
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A problem (arisen from applications to networks) is posed about the principal minors of the matrix of transition probabilities of a Markov chain.
Vincent Vigon (2011)
Annales de l'I.H.P. Probabilités et statistiques
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(Homogeneous) Markov bridges are (time homogeneous) Markov chains which begin at a given point and end at a given point. The price to pay for preserving the homogeneity is to work with processes with a random life-span. Bridges are studied both for themselves and for their use in describing the transformations of Markov chains: restriction on a random interval, time reversal, time change, various conditionings comprising the confinement in some part of the state space. These bridges...
Piotr Pokarowski (1999)
Applicationes Mathematicae
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This paper is devoted to computational problems related to Markov chains (MC) on a finite state space. We present formulas and bounds for characteristics of MCs using directed forest expansions given by the Matrix Tree Theorem. These results are applied to analysis of direct methods for solving systems of linear equations, aggregation algorithms for nearly completely decomposable MCs and the Markov chain Monte Carlo procedures.
Jeffrey J. Hunter (2016)
Special Matrices
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This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30, 197–207, (1986) procedure. The technique is numerically stable in that it doesn’t involve subtractions. Algebraic expressions for the special cases of one, two, three and four states are derived.Aconsequence of the procedure is that the stationary distribution of the...