Numerical method for expectations of piecewise deterministic Markov processes

DOI10.2140/CAMCOS.2012.7.63MaRDI QIDQ444541zbMATH OpenOpenAlexFDO

Authors Adrien Brandejsky, Benoîte de Saporta, F. Dufour

Publication date 15 August 2012

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

Full work available at URL https://arxiv.org/abs/1105.0839, http://msp.berkeley.edu/camcos/2012/7-1/p03.xhtml

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)

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.

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