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Numerical Methods for the Exit Time of a Piecewise-Deterministic Markov Process

Part of: Markov processes Special processes Probabilistic methods, simulation and stochastic differential equations

Published online by Cambridge University Press:  04 January 2016

Adrien Brandejsky ,
Benoîte De Saporta  and
François Dufour
Adrien Brandejsky*
Affiliation:
Université Bordeaux, IMB and INRIA Bordeaux Sud-Ouest
Benoîte De Saporta*
Affiliation:
Université Bordeaux, Gretha and INRIA Bordeaux Sud-Ouest
François Dufour*
Affiliation:
Université Bordeaux, IMB and INRIA Bordeaux Sud-Ouest
*
∗ Postal address: INRIA Bordeaux Sud-Ouest, CQFD Team, 351 cours de la Libération, F-33405 Talence, France.
∗ Postal address: INRIA Bordeaux Sud-Ouest, CQFD Team, 351 cours de la Libération, F-33405 Talence, France.
∗ Postal address: INRIA Bordeaux Sud-Ouest, CQFD Team, 351 cours de la Libération, F-33405 Talence, France.
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Abstract

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We present a numerical method to compute the survival function and the moments of the exit time for a piecewise-deterministic Markov process (PDMP). Our approach is based on the quantization of an underlying discrete-time Markov chain related to the PDMP. The approximation we propose is easily computable and is even flexible with respect to the exit time we consider. We prove the convergence of the algorithm and obtain bounds for the rate of convergence in the case of the moments. We give an academic example and a model from the reliability field to illustrate the results of the paper.

Keywords

Exit timepiecewise-deterministic Markov processquantizationnumerical method

MSC classification

Primary: 60J25: Continuous-time Markov processes on general state spaces 65C20: Models, numerical methods
Secondary: 60K10: Applications (reliability, demand theory, etc.)
Type
General Applied Probability
Information
Advances in Applied Probability , Volume 44 , Issue 1 , March 2012 , pp. 196 - 225
Copyright
© Applied Probability Trust 

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