A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion (Q2976122)
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scientific article; zbMATH DE number 6705611
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| English | A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion |
scientific article; zbMATH DE number 6705611 |
Statements
A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion (English)
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13 April 2017
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Markov-modulated Brownian motion
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Markov-modulated fluid flow
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weak convergence
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Newton algorithm
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Riccati equation
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0.833228588104248
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0.8221337795257568
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0.8194631934165955
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0.818477988243103
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0.800635039806366
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