Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
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Publication:3635019
DOI10.1287/opre.49.4.516.11221zbMath1163.60321MaRDI QIDQ3635019
Richard H. Stockbridge, Kurt Helmes, Stefan Röhl
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
60J25: Continuous-time Markov processes on general state spaces
90C08: Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.)
60H30: Applications of stochastic analysis (to PDEs, etc.)
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