Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2005-09-20
Number: 05-086/4
Author-Name: Bernd Heidergott
Author-Email: bheidergott@feweb.vu.nl
Author-Workplace-Name: Faculty of Economics, Vrije Universiteit Amsterdam
Author-Name: Arie Hordijk
Author-Email: hordijk@math.leidenuniv.nl
Author-Workplace-Name: Leiden University, Mathematical Institute
Author-Name: Miranda van Uitert
Author-Email: muitert@feweb.vu.nl
Author-Workplace-Name: Faculty of Economics, Vrije Universiteit Amsterdam
Title: Series Expansions for Finite-State Markov Chains
Abstract: This discussion paper led to a publication in <A HREF="https://pubsonline.informs.org/doi/abs/10.1287/opre.1090.0738">'Operations Research'</A>, 2009, 58(3), 756-767.<P>

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.
Classification-JEL: C63; C44
Keywords: finite-state Markov chain; (Taylor) series expansion; measure-valued derivatives; coupled processors
File-Url: https://papers.tinbergen.nl/05086.pdf
File-Format: application/pdf
File-Size: 313110 bytes
Handle: RePEc:tin:wpaper:20050086