Averaging for some simple constrained Markov processes

DOI10.19195/0208-4147.39.1.10zbMATH Open1491.60118arXiv1606.07577OpenAlexW2469494593MaRDI QIDQ5227573FDOQ5227573

Authors: Alexandre Genadot 

Publication date: 6 August 2019

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: In this paper, a class of piecewise deterministic Markov processes with underlying fast dynamic is studied. Using a "penalty method" , an averaging result is obtained when the underlying dynamic is infinitely accelerated. The features of the averaged process, which is still a piecewise deterministic Markov process, are fully described.

Full work available at URL: https://arxiv.org/abs/1606.07577

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zbMATH Keywords

piecewise deterministic Markov processaveragingconstrained Markov process

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Discrete-time Markov processes on general state spaces (60J05) Averaging method for ordinary differential equations (34C29) Hybrid systems of ordinary differential equations (34A38)

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Cited In (8)

• Averaging for a Fully Coupled Piecewise-Deterministic Markov Process in Infinite Dimensions
• Averaging for slow–fast piecewise deterministic Markov processes with an attractive boundary
• Analysis of averages over distributions of Markov processes
• Averaging principles for Markovian models of plasticity
• Probabilistic and Piecewise Deterministic models in Biology
• Simplified descripton of slow-in-the-average Markov walks
• Ornstein-Uhlenbeck processes of bounded variation
• Averaging along a Markov chain

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