Numerical method to compute the law of exit times for piecewise deterministic Markov processes

Benoîte de Saporta (1, 2, 3) , Adrien Brandejsky (2) , François Dufour (1, 2)

1 IMB - Institut de Mathématiques de Bordeaux
2 CQFD - Quality control and dynamic reliability
3 GREThA - Groupe de Recherche en Economie Théorique et Appliquée

Domaines: Probabilités [math.PR]

Benoîte de Saporta, Adrien Brandejsky, François Dufour. Numerical method to compute the law of exit times for piecewise deterministic Markov processes. Hitting times and exit problems for stochastic models, 2013, Dijon, France. ⟨hal-00905866⟩