Finite-state-space truncations for infinite quasi-birth-death processes

Baumann, Hendrik GND

For dealing numerically with the infinite-state-space Markov chains, a truncation of the state space is inevitable, that is, an approximation by a finite-state-space Markov chain has to be performed. In this paper, we consider level-dependent quasi- birth-death processes, and we focus on the computation of stationary expectations. In previous literature, efficient methods for computing approximations to these characteristics have been suggested and established. These methods rely on truncating the process at some level N, and for N ⟶∞, convergence of the approximation to the desired characteristic is guaranteed. This paper’s main goal is to quantify the speed of convergence. Under the assumption of an f -modulated drift condition, we derive terms for a lower bound and an upper bound on stationary expectations which converge quickly to the same value and which can be efficiently computed.

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Baumann, Hendrik: Finite-state-space truncations for infinite quasi-birth-death processes. 2021.

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