Numerical methods for the exit time of a piecewise-deterministic Markov process
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 | 2024-04-04T02:27:48Z | |
dc.date.available | 2024-04-04T02:27:48Z | |
dc.date.created | 2010-12-13 | |
dc.date.issued | 2012 | |
dc.identifier.issn | 0001-8678 | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/190047 | |
dc.description.abstractEn | We present a numerical method to compute the survival function and the moments of the exit time for a piecewise-deterministic Markov process (PDMP). Our approach is based on the quantization of an underlying discrete-time Markov chain related to the PDMP. The approximation we propose is easily computable and is even flexible with respect to the exit time we consider. We prove the convergence of the algorithm and obtain bounds for the rate of convergence in the case of the moments. An academic example and a model from the reliability field illustrate the paper. | |
dc.description.sponsorship | Contrôle tolérant aux pannes pour les systèmes embarqués - ANR-09-SEGI-0004 | |
dc.language.iso | en | |
dc.publisher | Applied Probability Trust | |
dc.title.en | Numerical methods for the exit time of a piecewise-deterministic Markov process | |
dc.type | Article de revue | |
dc.identifier.doi | 10.1239/aap/1331216650 | |
dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
dc.identifier.arxiv | 1012.2659 | |
bordeaux.journal | Advances in Applied Probability | |
bordeaux.page | pp196-225 | |
bordeaux.volume | 44 | |
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-00546339 | |
hal.version | 1 | |
hal.popular | non | |
hal.audience | Internationale | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-00546339v1 | |
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