A finite-volume scheme for dynamic reliability models

DOI10.1093/IMANUM/DRL001MaRDI QIDQ5480384zbMATH OpenOpenAlexFDO

Authors Christiane Cocozza-Thivent, Robert Eymard, Sophie Mercier

Publication date 1 August 2006

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://hal-upec-upem.archives-ouvertes.fr/hal-00693102/file/CTEM.pdf

zbMATH Keywords

finite volume methodlinear hyperbolic partial differential equationsMarkov processesnumerical exampleprobability measureweak convergence

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Continuous-time Markov processes on general state spaces (60J25) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(8)

• A Fokker-Planck control framework for stochastic systems
• A methodology for probabilistic model-based prognosis
• Characterization of the marginal distributions of Markov processes used in dynamic reliability
• Analysis and approximation of a reliable model
• Approximation of the marginal distributions of a semi-Markov process using a finite volume scheme
• Importance and sensitivity analysis in dynamic reliability
• Finite volume schemes for the approximation via characteristics of linear convection equations with irregular data
• An implicit finite volume scheme for a scalar hyperbolic problem with measure data related to piecewise deterministic Markov processes

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