A FINITE DIFFERENCE METHOD FOR PIECEWISE DETERMINISTIC PROCESSES WITH MEMORY

DOI10.3846/1392-6292.2007.12.157-178zbMATH Open1153.65084arXivmath/0610725OpenAlexW1973303223MaRDI QIDQ5457481FDOQ5457481

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Publication date: 14 April 2008

Published in: Mathematical Modelling and Analysis (Search for Journal in Brave)

Abstract: In this paper the numerical approximation of solutions of Liouville-Master Equations for time-dependent distribution functions of Piecewise Deterministic Processes with memory is considered. These equations are linear hyperbolic PDEs with non-constant coefficients, and boundary conditions that depend on integrals over the interior of the integration domain. We construct a finite difference method of the first order, by a combination of the upwind method, for PDEs, and by a direct quadrature, for the boundary condition. We analyse convergence of the numerical solution for distribution functions evolving towards an equilibrium. Numerical results for two problems, whose analytical solutions are known in closed form, illustrate the theoretical finding.

Full work available at URL: https://arxiv.org/abs/math/0610725

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zbMATH Keywords

convergencenumerical resultsfinite difference methoddistribution functionsupwind methodpiecewise deterministic processesLiouville-master equations

Mathematics Subject Classification ID

Initial value problems for first-order hyperbolic systems (35L45) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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• Optimal control of a class of piecewise deterministic processes
• Asymptotic stability of solutions to Volterra-renewal integral equations with space maps
• A memory-efficient Broyden method to compute fixed points of non-linear maps arising in periodically forced processes
• A FINITE DIFFERENCE METHOD FOR PIECEWISE DETERMINISTIC PROCESSES WITH MEMORY. II
• Stochastic modelling and control of antibiotic subtilin production
• Numerical treatment of a Volterra integral equation with space maps
• Numerical methods for piecewise deterministic Markov processes with boundary
• Piecewise derivatives versus short memory concept: analysis and application

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