Numerical methods for piecewise deterministic Markov processes with boundary

DOI10.1051/PROC/201445035MaRDI QIDQ3465871zbMATH OpenOpenAlexFDO

Authors Ludovic Goudenège

Publication date 29 January 2016

Published in ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1810.10215, http://www.esaim-proc.org/10.1051/proc/201445035/pdf

zbMATH Keywords

finite volume schemegeneralized Kolmogorov equationMarkov processes with boundary

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on general state spaces (60J25) Finite volume methods for boundary value problems involving PDEs (65N08)

Abstract: In this paper is described the general aspect of a numerical method for piecewise determin-istic Markov processes with boundary. Under very natural hypotheses, a crucial result about uniqueness of solution of a generalized Kolmogorov equation with respect to a test function space is proved. Next we prove the existence and uniqueness of a positive solution to the finite volume scheme without result about convergence. Finally different models of transmission control protocol window-size processes are simulated to illustrate the efficiency of the numerical method for describing the evolution of the density of a piecewise deterministic Markov process with boundary. Obviously some technical aspects have been skipped for reader convenience but the full theory will be exposed in a forthcoming paper in collaboration with C.

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Cites work

• Finite volume schemes for the approximation via characteristics of linear convection equations with irregular data
• Qualitative properties of certain piecewise deterministic Markov processes

Cited in

(7)

• Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming
• A FINITE DIFFERENCE METHOD FOR PIECEWISE DETERMINISTIC PROCESSES WITH MEMORY. II
• An implicit finite volume scheme for a scalar hyperbolic problem with measure data related to piecewise deterministic Markov processes
• Numerical method for expectations of piecewise deterministic Markov processes
• Numerical methods for piecewise deterministic Markov processes with boundary
• A FINITE DIFFERENCE METHOD FOR PIECEWISE DETERMINISTIC PROCESSES WITH MEMORY
• Analysis Of Upwind Method For Piecewise Deterministic Markov Processes

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