The exponential of a matrix and the spectral decomposition of a matrix can be computed knowing nothing more than the eigenvalues of the matrix and the Cayley-Hamilton theorem. The arrangement of the ...

In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated. The closed-form ...

For finite, homogeneous, continuous-time Markov chains having a unique stationary distribution, we derive perturbation bounds which demonstrate the connection between the sensitivity to perturbations ...