The fundamental matrix of singularly perturbed Markov chains
Konstantin E. Avrachenkov, Jean Bernard Lasserre · Advances in Applied Probability · 1999
We consider a singularly perturbed (finite state) Markov chain and provide a complete characterization of the fundamental matrix. In particular, we obtain a formula for the regular part simpler than a previous formula obtained by Schweitzer, and the singular part is obtained via a reduction process similar to Delebecque's reduction for the stationary distribution. In contrast to previous approaches, one works with aggregate Markov chains of much smaller dimension than the original chain, an essential feature for practical computation. An application to mean first-passage times is also presented.