Numerical method for expectations of piecewise-determistic Markov processes
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
dc.contributor.author | BRANDEJSKY, Adrien | |
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
hal.structure.identifier | Groupe de Recherche en Economie Théorique et Appliquée [GREThA] | |
dc.contributor.author | DE SAPORTA, Benoîte | |
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
dc.contributor.author | DUFOUR, François | |
dc.date.accessioned | 2024-04-04T02:26:47Z | |
dc.date.available | 2024-04-04T02:26:47Z | |
dc.date.created | 2011-05-04 | |
dc.date.issued | 2012 | |
dc.identifier.issn | 1559-3940 | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/189980 | |
dc.description.abstractEn | 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. An example illustrates the paper. | |
dc.language.iso | en | |
dc.publisher | Mathematical Sciences Publishers | |
dc.title.en | Numerical method for expectations of piecewise-determistic Markov processes | |
dc.type | Article de revue | |
dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
dc.identifier.arxiv | 1105.0839 | |
bordeaux.journal | Communications in Applied Mathematics and Computational Science | |
bordeaux.page | pp63-104 | |
bordeaux.volume | 7 | |
bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
bordeaux.issue | 1 | |
bordeaux.institution | Université de Bordeaux | |
bordeaux.institution | Bordeaux INP | |
bordeaux.institution | CNRS | |
bordeaux.peerReviewed | oui | |
hal.identifier | hal-00617816 | |
hal.version | 1 | |
hal.popular | non | |
hal.audience | Internationale | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-00617816v1 | |
bordeaux.COinS | ctx_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 |
Fichier(s) constituant ce document
Fichiers | Taille | Format | Vue |
---|---|---|---|
Il n'y a pas de fichiers associés à ce document. |