Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming

Abstract

This paper uses linear programming to numerically evaluate the Laplace transform of the exit time distribution and the resolvent of the moments of various Markov processes in bounded regions. The linear programming formulation is developed from a martingale characterization of the processes and the use of occupation measures. The LP approach naturally… (More)
DOI: 10.1007/s001860100121

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