Numerical methods for the exit time of a piecewise-deterministic Markov process

DOI10.1239/AAP/1331216650MaRDI QIDQ2879913zbMATH OpenOpenAlexFDO

Authors Adrien Brandejsky, Benoîte de Saporta, F. Dufour

Publication date 10 April 2012

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.2659

zbMATH Keywords

piecewise deterministic Markov processnumerical methodquantizationexit time

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Probabilistic models, generic numerical methods in probability and statistics (65C20) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Continuous-time Markov processes on general state spaces (60J25)

Abstract: We present a numerical method to compute the survival function and the moments of the exit time for a piecewise-deterministic Markov process (PDMP). Our approach is based on the quantization of an underlying discrete-time Markov chain related to the PDMP. The approximation we propose is easily computable and is even flexible with respect to the exit time we consider. We prove the convergence of the algorithm and obtain bounds for the rate of convergence in the case of the moments. An academic example and a model from the reliability field illustrate the paper.

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Cites work

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• Quantization
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(9)

• Numerical method for expectations of piecewise deterministic Markov processes
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• Numerical methods for piecewise deterministic Markov processes with boundary
• Approximation of exit times for one-dimensional linear diffusion processes
• A method to compute the transition function of a piecewise deterministic Markov process with application to reliability
• Piecewise deterministic Markov process -- recent results
• A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions
• Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
• Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion

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