The numerical resolution of birth and death Kolmogorov equations

DOI10.1016/0898-1221(87)90120-9zbMath0668.65124OpenAlexW2012309099MaRDI QIDQ1118379

Jean Letessier

Publication date: 1987

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(87)90120-9

zbMATH Keywords

spectrumKolmogorov equationsasymptotically symmetric processescubic and quartic birth and death processesnumerical diagonalization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Probabilistic methods, stochastic differential equations (65C99)

Uses Software

• EISPACK

Cites Work

• Unnamed Item
• Denumerable Markov processes and the associated contraction semigroups on l
• Matrix eigensystem routines - EISPACK guide
• An Integral Transform Involving Heun Functions and a Related Eigenvalue Problem
• Spectral theory for the differential equations of simple birth and death processes

This page was built for publication: The numerical resolution of birth and death Kolmogorov equations