Embeddable Markov Matrices

By E. Davies. 2010

66 citations recorded by the source corpus.

We give an account of some results, both old and new, about any $n\times n$ Markov matrix that is embeddable in a one-parameter Markov semigroup. These include the fact that its eigenvalues must lie in a certain region in the unit ball. We prove that a well-known procedure for approximating a non-embeddable Markov matrix by an embeddable one is optimal in a certain sense.

Subfields: Computational Theory and Mathematics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/e452b7a43857d697c1401de6a4df52b55afe9907