BRANDEJSKY, Adrien; DE SAPORTA, Benoîte; DUFOUR, François

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BRANDEJSKY, Adrien
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]

DE SAPORTA, Benoîte
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]

DUFOUR, François
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]

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Communications in Applied Mathematics and Computational Science. 2012, vol. 7, n° 1, p. pp63-104

Mathematical Sciences Publishers

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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.< Leer menos

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Numerical method for expectations of piecewise-determistic Markov processes

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