Conditions for embeddability of discrete time Markov models

Research output: Chapter in Book/Report/Conference proceedingMeeting abstract (Book)

Abstract

For a time homogeneous Markov chain characterised by the matrix P of transition probabilities with respect to time intervals with length 1, the paper deals with the embeddability problem: necessary and sufficient conditions are determined under which there exists a Markov chain with time unity 0.5 that is compatible with the transition matrix P. Besides the existence, the uniqueness of these solutions is discussed. In case more solutions exist, a procedure is introduced to identify a unique transition matrix that takes into account the specificity of the concrete context. The concepts of probability roots and approximate probability roots are introduced.
Original languageEnglish
Title of host publicationORBEL 26, 26th Annual Conference of the Belgian Operations Research Society
Publication statusPublished - 2012
EventUnknown -
Duration: 1 Jan 2012 → …

Publication series

NameORBEL 26, 26th Annual Conference of the Belgian Operations Research Society

Conference

ConferenceUnknown
Period1/01/12 → …

Keywords

  • Markov models
  • Embeddability

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