Embeddable Markov Matrices

作者:Davies E B*
来源:Electronic Journal of Probability, 2010, 15(none): 1474-1486.
DOI:10.1214/ejp.v15-733

摘要

We give an account of some results, both old and new, about any n x n Markov matrix that is embeddable in a one-parameter Markov semigroup. These include the fact that its eigenvalues must lie in a certain region in the unit ball. We prove that a well-known procedure for approximating a non-embeddable Markov matrix by an embeddable one is optimal in a certain sense.

  • 出版日期2010-9-28