Numerical Methods for the Exit Time of a Piecewise-Deterministic Markov Process

DOI10.1239/aap/1331216650zbMath1244.60073arXiv1012.2659OpenAlexW2028284768MaRDI QIDQ2879913

Benoîte De Saporta, Adrien Brandejsky, François Dufour

Publication date: 10 April 2012

Published in: Unnamed Author (Search for Journal in Brave)

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

zbMATH Keywords

numerical methodquantizationexit timepiecewise deterministic Markov process

Mathematics Subject Classification ID

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

Related Items (3)

Piecewise deterministic Markov process — recent results ⋮ A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions ⋮ Optimal control of infinite-dimensional piecewise deterministic Markov processes and application to the control of neuronal dynamics via optogenetics

Cites Work

• Unnamed Item
• Unnamed Item
• A method to compute the transition function of a piecewise deterministic Markov process with application to reliability
• About the multidimensional competitive learning vector quantization algorithm with constant gain
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Numerical method for optimal stopping of piecewise deterministic Markov processes
• SDP vs. LP Relaxations for the Moment Approach in Some Performance Evaluation Problems
• Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
• Quantization
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

This page was built for publication: Numerical Methods for the Exit Time of a Piecewise-Deterministic Markov Process