Northwest corner and banded matrix approximations to a Markov chain

Northwest corner and banded matrix approximations to a Markov chain

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Article ID: iaor19993088
Country: United States
Volume: 46
Issue: 2
Start Page Number: 187
End Page Number: 197
Publication Date: Mar 1999
Journal: Naval Research Logistics
Authors: , ,
Abstract:

In this paper, we consider approximations to discrete time Markov chains with countably infinite state spaces. We provide a simple, direct proof for the convergence of certain probabilistic quantities when one uses a northwest corner or a banded matrix approximation to the original probability transition matrix.

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