Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming

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

zbMATH Keywords

Laplace transformlinear programmingresolventBrownian motionMarkov processesOrnstein-Uhlenbeck process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44)

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