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 Electronic Journal of Probability > Vol. 15(2010) > Paper 47 open journal systems 


Embeddable Markov Matrices

E B Davies, King's College London


Abstract
We give an account of some results, both old and new, about any $n×n$ 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.


Full text: PDF

Pages: 1474-1486

Published on: September 28, 2010
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Electronic Journal of Probability. ISSN: 1083-6489