Resource title

Matrix measures and random walks

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Resource description

In this paper we study the connection between matrix measures and random walks with a tridiagonal block transition matrix. We derive sufficient conditions such that the blocks of the n-step transition matrix of the Markov chain can be represented as integrals with respect to a matrix valued spectral measure. Several stochastic properties of the processes are characterized by means of this matrix measure. In many cases this measure is supported in the interval [-1, 1]. The results are illustrated by several examples including random walks on a grid and the embedded chain of a queuing system.

Resource author

W. J. Studden, Bettina Reuther, Holger Dette, M. Zygmunt

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22615

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Adapt according to the presented license agreement and reference the original author.