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Markov chains and generalized continued fractions

Part of: Series expansions Markov processes

Published online by Cambridge University Press:  14 July 2016

Thomas Hanschke
Thomas Hanschke*
Affiliation:
IBM Corporation
*
∗ Postal address: Department 4637, IBM Germany, Hechtsheimer Straße 2, 6500 Mainz, Germany.
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Abstract

This paper deals with a class of discrete-time Markov chains for which the invariant measures can be expressed in terms of generalized continued fractions. The representation covers a wide class of stochastic models and is well suited for numerical applications. The results obtained can easily be extended to continuous-time Markov chains.

Keywords

INVARIANT MEASURES OF MARKOV CHAINSTRUNCATION PROCEDURES FOR INFINITE MATRICESGENERALIZED CONTINUED FRACTIONSREGULAR AND ERGODIC MARKOV PROCESSES

MSC classification

Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
Secondary: 30B70: Continued fractions
Type
Research Papers
Information
Journal of Applied Probability , Volume 29 , Issue 4 , December 1992 , pp. 838 - 849
Copyright
Copyright © Applied Probability Trust 1992 

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