Computation of first passage of Markov additive processes

DOI10.1007/S10915-025-02892-3MaRDI QIDQ6987171zbMATH OpenFDO

Authors Changli Liu, Jungong Xue, Junxin Zhang

Publication date 7 May 2025

Published in Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10915-025-02892-3

zbMATH Keywords

\(M\)-matrix algebraic Riccati equationsintegral matrix equationsMarkov additive processstructure-preserving doubling algorithms

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Processes with independent increments; Lévy processes (60G51) Computational methods in Markov chains (60J22) Brownian motion (60J65) Numerical methods for matrix equations (65F45)

Cites work

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