Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming
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Publication:1396975
DOI10.1007/s001860100121zbMath1020.60064MaRDI QIDQ1396975
Richard H. Stockbridge, Kurt Helmes
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 transform; linear programming; resolvent; Brownian motion; Markov processes; Ornstein-Uhlenbeck process
60J25: Continuous-time Markov processes on general state spaces
60G44: Martingales with continuous parameter
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