Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming

DOI10.1287/OPRE.49.4.516.11221MaRDI QIDQ3635019zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on general state spaces (60J25) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

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(23)

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• Analysis of transient queues with semidefinite optimization
• Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
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• Bounding stationary averages of polynomial diffusions via semidefinite programming
• SDP vs. LP Relaxations for the Moment Approach in Some Performance Evaluation Problems
• A geometrical characterization of multidimensional Hausdorff polytopes with applications to exit time problems
• Bounds on exponential moments of hitting times for reflected processes on the positive orthant
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• Extension Of Dale's Moment Conditions With Application To The Wright–fisher Model
• A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization
• On the finiteness of moments of the exit time of planar Brownian motion from comb domains
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• Approximations of Countably Infinite Linear Programs over Bounded Measure Spaces
• Tighter bounds on transient moments of stochastic chemical systems
• Statistical arbitrage: factor investing approach
• Thinning and harvesting in stochastic forest models
• Moment-SOS hierarchy and exit location of stochastic processes
• Finite element approximations for stochastic control problems with unbounded state space

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