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Numerical method for expectations of piecewise-determistic Markov processes

hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorBRANDEJSKY, Adrien
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierGroupe de Recherche en Economie Théorique et Appliquée [GREThA]
dc.contributor.authorDE SAPORTA, Benoîte
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorDUFOUR, François
dc.date.accessioned2024-04-04T02:26:47Z
dc.date.available2024-04-04T02:26:47Z
dc.date.created2011-05-04
dc.date.issued2012
dc.identifier.issn1559-3940
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/189980
dc.description.abstractEnWe 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. An example illustrates the paper.
dc.language.isoen
dc.publisherMathematical Sciences Publishers
dc.title.enNumerical method for expectations of piecewise-determistic Markov processes
dc.typeArticle de revue
dc.subject.halMathématiques [math]/Probabilités [math.PR]
dc.identifier.arxiv1105.0839
bordeaux.journalCommunications in Applied Mathematics and Computational Science
bordeaux.pagepp63-104
bordeaux.volume7
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.issue1
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-00617816
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00617816v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Communications%20in%20Applied%20Mathematics%20and%20Computational%20Science&rft.date=2012&rft.volume=7&rft.issue=1&rft.spage=pp63-104&rft.epage=pp63-104&rft.eissn=1559-3940&rft.issn=1559-3940&rft.au=BRANDEJSKY,%20Adrien&DE%20SAPORTA,%20Beno%C3%AEte&DUFOUR,%20Fran%C3%A7ois&rft.genre=article


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