Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes

DOI10.1002/9781119145066zbMath1338.65021OpenAlexW2292892777MaRDI QIDQ3463359

Benoîte De Saporta, Huilong Zhang, François Dufour

Publication date: 13 January 2016

Full work available at URL: https://doi.org/10.1002/9781119145066

zbMATH Keywords

monographoptimal stoppingexit timepiecewise deterministic Markov processesexpectation of functionals

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical optimization and variational techniques (65K10) Numerical analysis or methods applied to Markov chains (65C40) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Existence of optimal solutions to problems involving randomness (49J55)

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