Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming
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Publication:1396975
DOI10.1007/S001860100121zbMath1020.60064OpenAlexW1997879845MaRDI QIDQ1396975
Kurt Helmes, Richard H. Stockbridge
Publication date: 15 July 2003
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860100121
Laplace transformlinear programmingresolventBrownian motionMarkov processesOrnstein-Uhlenbeck process
Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44)
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