Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming (Q1396975)
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| Language | Label | Description | Also known as |
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| English | Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming |
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Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming (English)
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15 July 2003
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For the computation of Laplace transforms of first-exit time distributions and resolvents of moments of standard Markov processes in bounded regions, a linear programming method based on the associated martingale is proposed, which leads to lower and upper bounds. The Poisson process, Brownian motion and the Ornstein-Uhlenbeck process are used as examples.
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Markov processes
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Laplace transform
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resolvent
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linear programming
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Brownian motion
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Ornstein-Uhlenbeck process
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