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Dette, Holger
Reuther, Bettina
Year of Publication: 
Series/Report no.: 
Technical Report 2008,13
In this paper we explore the relation between matrix measures and Quasi-Birth-and-Death processes. We derive an integral representation of the transition function in terms of a matrix valued spectral measure and corresponding orthogonal matrix polynomials. We characterize several stochastic properties of Quasi-Birth-and-Death processes by means of this matrix measure and illustrate the theoretical results by several examples.
Block tridiagonal infinitesimal generator
Quasi-Birth-and-Death processes
spectral measure
matrix measure
canonical moments
Document Type: 
Working Paper

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