Explicit solutions for a general class of Markov processes

Explicit solutions for a general class of Markov processes

We derive explicit solutions for the matrix‐geometric stationary distribution (and related measures) of a general class of infinite multidimensional Markov processes based on the probabilistic interpretations of the fundamental solution matrices and Bernoulli excursions, leading to explicit expressi...

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Veröffentlicht in:Proceedings in applied mathematics and mechanics 2007-12, Vol.7 (1), p.1080707-1080708
Hauptverfasser: van Leeuwaarden, Johan S.H., Squillante, Mark S., Winands, Erik M.M.
Format: Artikel
Sprache:eng
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Zusammenfassung:We derive explicit solutions for the matrix‐geometric stationary distribution (and related measures) of a general class of infinite multidimensional Markov processes based on the probabilistic interpretations of the fundamental solution matrices and Bernoulli excursions, leading to explicit expressions for these matrix elements in terms of hypergeometric functions. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)
ISSN:1617-7061
1617-7061
DOI:10.1002/pamm.200700857