Numerical Methods for the Exit Time of a Piecewise-Deterministic Markov Process (Q2879913): Difference between revisions

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+François Dufour
@@ Property / author: François Dufour / rank @@
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+W2028284768
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+.2659
@@ Property / arXiv ID: 1012.2659 / rank @@
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+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
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+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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+A method to compute the transition function of a piecewise deterministic Markov process with application to reliability
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+Numerical method for optimal stopping of piecewise deterministic Markov processes
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+Quantization
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+Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
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+SDP vs. LP Relaxations for the Moment Approach in Some Performance Evaluation Problems
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