Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes

DOI10.1137/21M1436543MaRDI QIDQ5099870zbMATH OpenOpenAlexWikidataFDO

Authors Dario A. Bini, Guy Latouche, B. Meini

Publication date 26 August 2022

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.11611

zbMATH Keywords

fixed point iterationsintegral equationsLévy processesMarkov modulationnonlinear matrix equationsnumerical 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)

Abstract: Markov-modulated L'evy processes lead to matrix integral equations of the kind $A_0+A_{1}X+A_2{X}^2+A_3(X)=0$ where $A_0$, $A_1$, $A_2$ are given matrix coefficients, while $A_3(X)$ is a nonlinear function, expressed in terms of integrals involving the exponential of the matrix $X$ itself. In this paper we propose some numerical methods for the solution of this class of matrix equations, perform a theoretical convergence analysis and show the effectiveness of the new methods by means of a wide numerical experimentation.

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Cited in

(5)

• Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming
• Numerical solution to an integral equation for the kth moment function of a geometric process
• One-sided Markov additive processes with lattice and non-lattice increments
• Computation of first passage of Markov additive processes
• On certain classes of nonlinear matrix equations: theory, applications, and numerical solution

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