Abstract
We propose an efficient iterative scheme to solve numerically a quadratic matrix equation related to the noisy Wiener-Hopf problems for Markov chains. We improve the efficiency and the accuracy of the well-known Newton's method, frequently used in the literature. We provide a semilocal convergence result for this iterative scheme, where we establish domains of existence and uniqueness of solution. Finally, we apply this efficient method to approximate the solution of a particular noisy Wiener-Hopf problem and we compare it with Newton's method. (C)& nbsp;2021 Elsevier B.V. All rights reserved.
NSTL
Elsevier