Taylor series expansions for stationary Markov chains
- 1 December 2003
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 35 (4), 1046-1070
- https://doi.org/10.1239/aap/1067436334
Abstract
We study Taylor series expansions of stationary characteristics of general-state-space Markov chains. The elements of the Taylor series are explicitly calculated and a lower bound for the radius of convergence of the Taylor series is established. The analysis provided in this paper applies to the case where the stationary characteristic is given through an unbounded sample performance function such as the second moment of the stationary waiting time in a queueing system.Keywords
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