Embeddable Markov Matrices

Details Embeddable Markov Matrices Embeddable Markov Matrices

2010-01-11

arxiv.org/abs/1001.1693v1

Mathematics

Probability

15 pages

Scientific paper

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.

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