Approximating exit times of continuous Markov processes
DOI10.3934/dcdsb.2020076zbMath1464.60074arXiv1904.04344OpenAlexW3000943923MaRDI QIDQ784312
Thomas Kruse, Mikhail A. Urusov
Publication date: 3 August 2020
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.04344
functional limit theoremnumerical schemeexit timeMarkov chain approximationabsorption timespeed measureone-dimensional Markov process
Computational methods in Markov chains (60J22) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Functional limit theorems; invariance principles (60F17)
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