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

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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• A geometrical characterization of multidimensional Hausdorff polytopes with applications to exit time problems

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