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Zbl 1043.60056
Heidergott, Bernd; Hordijk, Arie
Taylor series expansions for stationary Markov chains. (English)
[J] Adv. Appl. Probab. 35, No. 4, 1046-1070 (2003). ISSN 0001-8678

From the authors' abstract: We study Taylor series expansions of stationary characteristics of general-state-space Markov chains. The elements of the Taylor series are explicitly calculated and a lower bound for the radius of convergence of the Taylor series is established.
[Rudolf Grübel (Hannover)]
MSC 2000:
*60J10 Markov chains with discrete parameter
90C31 Sensitivity, etc.

Keywords: Markov chain; Taylor series; measure-valued differentiation; deviation matrix

Cited in: Zbl 1075.60548

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