Numerical evaluation of Markov transition probabilities based on the discretized product integral
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Publication:4025276
DOI10.1080/03461238.1992.10413898zbMath0761.65109MaRDI QIDQ4025276
Publication date: 18 February 1993
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1992.10413898
numerical examples; Taylor expansion; transition matrix; matrix norm; product integral; intensity matrix; time-inhomogeneous Markov process
60J05: Discrete-time Markov processes on general state spaces
65C99: Probabilistic methods, stochastic differential equations
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