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Heidergott, B., Hordijk, A. and Leder, N. (2010). Series expansions for continuous-time Markov chains Operations Research, 58:756--767.

  • Journal
    Operations Research
View publication

We present update formulas that allow us to express the stationary distribution of a continuous-time Markov process with denumerable state space having generator matrix Q* through a continuous-time Markov process with generator matrix Q. Under suitable stability conditions, numerical approximations can be derived from the update formulas, and we show that the algorithms converge at a geometric rate. Applications to sensitivity analysis and bounds on perturbations are discussed as well. Numerical examples are presented to illustrate the efficiency of the proposed algorithm. {\textcopyright} 2010 INFORMS.