Computing moments of the exit distribution for Markov processes by linear programming
Operations Research. Bd. 49. H. 4. 2001 S. 516 - 530
Erscheinungsjahr: 2001
Publikationstyp: Zeitschriftenaufsatz
Sprache: Englisch
Inhaltszusammenfassung
We provide a new approach to the numerical computation of moments of the exit time distribution of Markov processes. The method relies on a linear programming formulation of a process exiting from a bounded domain. The LP formulation characterizes the evolution of the process through the moments of the induced occupation measure and naturally provides upper and lower bounds for the exact values of the moments. The conditions the moments have to satisfy are derived directly from the generator ...We provide a new approach to the numerical computation of moments of the exit time distribution of Markov processes. The method relies on a linear programming formulation of a process exiting from a bounded domain. The LP formulation characterizes the evolution of the process through the moments of the induced occupation measure and naturally provides upper and lower bounds for the exact values of the moments. The conditions the moments have to satisfy are derived directly from the generator of the Markov process and are not based on some approximation of the process. Excellent software is readily available since the computations involve finite dimensional linear programs.» weiterlesen» einklappen
Klassifikation
DFG Fachgebiet:
Mathematik
DDC Sachgruppe:
Mathematik
