Multivariate semi-markov matrices

Abstract

Finite matrices with entries pij Fij (x1,…, xk), where {pij} is stochastic and Fij(.) is a k-variate probability distribution are discussed. It is shown that the matrix of k-variate Laplace-Stieltjes transforms of the Pij Fij(x1, …, xk) has a Perron-Frobenius eigenvalue which is a convex function in k variables in a suitably defined region. The values of the partial derivatives near the origin of this maximal eigenvalue are exhibited. They are quantities of interest in a variety of applications in Probability theory.