IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v29y1999i3p345-368.html
   My bibliography  Save this article

A numerical study of large sparse matrix exponentials arising in Markov chains

Author

Listed:
  • Sidje, Roger B.
  • Stewart, William J.

Abstract

No abstract is available for this item.

Suggested Citation

  • Sidje, Roger B. & Stewart, William J., 1999. "A numerical study of large sparse matrix exponentials arising in Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 29(3), pages 345-368, January.
    • Handle: RePEc:eee:csdana:v:29:y:1999:i:3:p:345-368
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(98)00062-0
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chris Sherlock, 2021. "Direct statistical inference for finite Markov jump processes via the matrix exponential," Computational Statistics, Springer, vol. 36(4), pages 2863-2887, December.
    2. Wu, Xiaoxia & Zhang, Lianzhu, 2019. "On structural properties of ABC-minimal chemical trees," Applied Mathematics and Computation, Elsevier, vol. 362(C), pages 1-1.
    3. Herbertsson, Alexander & Rootzén, Holger, 2007. "Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach," Working Papers in Economics 269, University of Gothenburg, Department of Economics.
    4. Vo, H.D. & Sidje, R.B., 2017. "Implementation of variable parameters in the Krylov-based finite state projection for solving the chemical master equation," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 334-344.
    5. Alexander Herbertsson, 2011. "Modelling default contagion using multivariate phase-type distributions," Review of Derivatives Research, Springer, vol. 14(1), pages 1-36, April.
    6. Igor Halperin & Andrey Itkin, 2013. "USLV: Unspanned Stochastic Local Volatility Model," Papers 1301.4442, arXiv.org, revised Mar 2013.
    7. Garrett Jenkinson & John Goutsias, 2012. "Numerical Integration of the Master Equation in Some Models of Stochastic Epidemiology," PLOS ONE, Public Library of Science, vol. 7(5), pages 1-9, May.
    8. Suñé, Víctor & Carrasco, Juan Antonio, 2017. "Implicit ODE solvers with good local error control for the transient analysis of Markov models," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 96-111.
    9. Herbertsson, Alexander, 2007. "Modelling Default Contagion Using Multivariate Phase-Type Distributions," Working Papers in Economics 271, University of Gothenburg, Department of Economics.
    10. Mercier, Sophie, 2008. "Bounds and approximations for continuous-time Markovian transition probabilities and large systems," European Journal of Operational Research, Elsevier, vol. 185(1), pages 216-234, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:29:y:1999:i:3:p:345-368. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.