Numerical evaluation of Markov transition probabilities based on the discretized product integral

DOI10.1080/03461238.1992.10413898zbMath0761.65109OpenAlexW2043616198MaRDI QIDQ4025276

Christian Max Møller

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

zbMATH Keywords

numerical examplesTaylor expansiontransition matrixmatrix normproduct integralintensity matrixtime-inhomogeneous Markov process

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• A survey of product-integration with a view toward application in survival analysis
• Nineteen Dubious Ways to Compute the Exponential of a Matrix