Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
DOI10.1287/OPRE.49.4.516.11221zbMATH Open1163.60321OpenAlexW2083746174MaRDI QIDQ3635019FDOQ3635019
Authors: Stefan Röhl, Richard H. Stockbridge, K. Helmes 
Publication date: 3 July 2009
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.49.4.516.11221
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Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)
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- Convergence of finite element methods for singular stochastic control
- Bounds on exponential moments of hitting times for reflected processes on the positive orthant
- Extension Of Dale's Moment Conditions With Application To The Wright–fisher Model
- A geometrical characterization of multidimensional Hausdorff polytopes with applications to exit time problems
- PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
- Tighter bounds on transient moments of stochastic chemical systems
- A method for deriving hypergeometric and related identities from the \(H^2\) Hardy norm of conformal maps
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- Bounding stationary averages of polynomial diffusions via semidefinite programming
- Statistical arbitrage: factor investing approach
- The exit time finite state projection scheme: bounding exit distributions and occupation measures of continuous-time Markov chains
- Semi-algebraic approximation using Christoffel-Darboux kernel
- SDP vs. LP Relaxations for the Moment Approach in Some Performance Evaluation Problems
- Numerical methods for the exit time of a piecewise-deterministic Markov process
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