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- W2023379218 abstract "We present a numerical method to compute expectations of functionals of a piecewise-deterministic Markov process. We discuss time dependent functionals as well as deterministic time horizon problems. Our approach is based on the quantization of an underlying discrete-time Markov chain. We obtain bounds for the rate of convergence of the algorithm. The approximation we propose is easily computable and is flexible with respect to some of the parameters defining the problem. An example illustrates the paper." @default.
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- W2023379218 date "2012-03-28" @default.
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- W2023379218 title "Numerical method for expectations of piecewise deterministic Markov processes" @default.
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- W2023379218 doi "https://doi.org/10.2140/camcos.2012.7.63" @default.
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