Computer aided solving the high-order transition probability matrix of the finite Markov chain

摘要

In this paper, by using theories of stochastic process and computer algebra, a reliable algorithm for computing the high-order transition probability matrix of finite Markov chain is established, a new mechanical procedure markovproc is established, too. The procedure markovproc give not only the exact expression of the Markov chains, but also the limiting probability. Some examples are presented to illustrate the implementation of the algorithm.