Uniform acceleration expansions for Markov chains with time-varying rates
type: Item
instance of: scholarly article
title: Uniform acceleration expansions for Markov chains with time-varying rates
zbMATH Open document ID: 0937.60066
author: William A. Massey
author: Ward Whitt
published in: The Annals of Applied Probability
publication date: 2000-06-07T00:00:00Z
review text: For time-inhomogeneous Markov chains with finite state space and continuous time, uniform acceleration (UA) expansion is constructed. The UA expansion is a special case of asymptotic approximation with its first term equal to the pointwise stationary approximation. Using the UA expansion the authors prove results that can be treated as analogous to the stationarity and ergodicity properties of homogeneous in time chains. As an example, time-varying birth-death process is considered. The accuracy of the approximation is illustrated by numerical calculations for (time-varying) Erlang loss model.
Mathematics Subject Classification ID: 60J27
Mathematics Subject Classification ID: 60K30
Mathematics Subject Classification ID: 34E05
zbMATH DE Number: 1319907
zbMATH Keywords: Markov chain
zbMATH Keywords: asymptotic expansion
zbMATH Keywords: birth-death model
zbMATH Keywords: Poisson's equation
zbMATH Keywords: pointwise stationary approximation
reviewed by: Eugene Kozarovitsky
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1028903375
OpenAlex ID: W2007560378
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DOI: 10.1214/AOAP/1028903375
description: scientific article; zbMATH DE number 1319907