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Numerical methods for the exit time of a piecewise-deterministic Markov process

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.accessioned2024-04-04T02:27:48Z
dc.date.available2024-04-04T02:27:48Z
dc.date.created2010-12-13
dc.date.issued2012
dc.identifier.issn0001-8678
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/190047
dc.description.abstractEnWe 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.sponsorshipContrôle tolérant aux pannes pour les systèmes embarqués - ANR-09-SEGI-0004
dc.language.isoen
dc.publisherApplied Probability Trust
dc.title.enNumerical methods for the exit time of a piecewise-deterministic Markov process
dc.typeArticle de revue
dc.identifier.doi10.1239/aap/1331216650
dc.subject.halMathématiques [math]/Probabilités [math.PR]
dc.identifier.arxiv1012.2659
bordeaux.journalAdvances in Applied Probability
bordeaux.pagepp196-225
bordeaux.volume44
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-00546339
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00546339v1
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