Skip to Main content Skip to Navigation
Journal articles

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

Abstract : 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.
Document type :
Journal articles
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-00546339
Contributor : Benoîte de Saporta <>
Submitted on : Tuesday, December 14, 2010 - 10:52:21 AM
Last modification on : Monday, November 30, 2020 - 10:56:12 AM

Links full text

Identifiers

  • HAL Id : hal-00546339, version 1
  • ARXIV : 1012.2659

Collections

Citation

Adrien Brandejsky, Benoîte de Saporta, François Dufour. Numerical methods for the exit time of a piecewise-deterministic Markov process. Advances in Applied Probability, Applied Probability Trust, 2012, 44 (1), pp196-225. ⟨hal-00546339⟩

Share

Metrics

Record views

187