Heidergott, Bernd Hordijk, Arie van Uitert, Miranda
Year of Publication:
Tinbergen Institute Discussion Paper 05-086/4
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.
finite-state Markov chain (Taylor) series expansion measure-valued derivatives coupled processors