Series Expansions for Finite-State Markov Chains

Bernd Heidergott; Arie Hordijk; Miranda van Uitert

Series Expansions for Finite-State Markov Chains

Bernd Heidergott, Arie Hordijk, Miranda van Uitert

School of Business and Economics

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Abstract

This paper provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm.

Original language	English
Place of Publication	Amsterdam
Publisher	Tinbergen Instituut
Publication status	Published - 2005

Publication series

Name	Discussion paper TI
No.	05-086/4

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BT - Series Expansions for Finite-State Markov Chains

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Series Expansions for Finite-State Markov Chains

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