Numerical method for expectations of piecewise deterministic Markov processes

DOI10.2140/CAMCOS.2012.7.63zbMATH Open1248.60086arXiv1105.0839OpenAlexW2023379218MaRDI QIDQ444541FDOQ444541

Adrien Brandejsky, F. Dufour, Benoîte de Saporta

Publication date: 15 August 2012

Published in: Communications in Applied Mathematics and Computational Science (Search for Journal in Brave)

Abstract: We present a numerical method to compute expectations of functionals of a piecewise-deterministic Markov process. We discuss time dependent functionals as well as deterministic time horizon problems. Our approach is based on the quantization of an underlying discrete-time Markov chain. We obtain bounds for the rate of convergence of the algorithm. The approximation we propose is easily computable and is flexible with respect to some of the parameters defining the problem. Two examples illustrate the paper.

Full work available at URL: https://arxiv.org/abs/1105.0839

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zbMATH Keywords

numerical methodquantizationexpectationpiecewise deterministic Markov processes

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Probabilistic models, generic numerical methods in probability and statistics (65C20) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Continuous-time Markov processes on general state spaces (60J25)

Cited In (6)

• Piecewise deterministic Markov process — recent results
• Analysis Of Upwind Method For Piecewise Deterministic Markov Processes
• Optimal stopping for partially observed piecewise-deterministic Markov processes
• Non-Parametric Estimation of the Conditional Distribution of the Interjumping Times for Piecewise-Deterministic Markov Processes
• Numerical methods for piecewise deterministic Markov processes with boundary
• A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions

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