Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming

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...

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Veröffentlicht in:	Operations research 2001-07, Vol.49 (4), p.516-530
Hauptverfasser:	Helmes, Kurt, Rohl, Stefan, Stockbridge, Richard H
Format:	Artikel
Sprache:	eng
Schlagworte:	60H35: Computation method for Markov processes 60J25: Exit times of Markov processes Accuracy Adjoints Algorithms Analysis Application of linear programming Approximation Brownian motion Computer programming services Custom software Interest rates Linear programming Markov analysis Markov processes Martingales Mathematical moments Numerical analysis Objective functions Operations research Planning Poisson process Statistical analysis Stochastic models Studies
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