Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes

DOI10.1137/21M1436543zbMath1497.65073arXiv2107.11611OpenAlexW3185275393WikidataQ113779028 ScholiaQ113779028MaRDI QIDQ5099870

Guy Latouche, Beatrice Meini, Dario Andrea Bini

Publication date: 26 August 2022

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.11611

zbMATH Keywords

Lévy processes integral equations numerical algorithms Markov modulation nonlinear matrix equations fixed point iterations

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Matrix equations and identities (15A24) Numerical methods for matrix equations (65F45)

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