Computing moments of the exit time distribution for Markov processes by linear programming
成果类型：
Article
署名作者：
Helmes, K; Röhl, S
署名单位：
Humboldt University of Berlin; Zuse Institute Berlin; University of Kentucky
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.49.4.516.11221
发表日期：
2001
页码：
516-530
关键词：
摘要：
We provide a new approach to the numerical computation of moments of the exit time distribution of Markov processes. The method relies on a linear programming formulation of a process exiting from a bounded domain. The LP formulation characterizes the evolution of the process through the moments of the induced occupation measure and naturally provides upper and lower bounds for the exact values of the moments. The conditions the moments have to satisfy are derived directly from the generator of the Markov process and are not based on some approximation of the process. Excellent software is readily available because the computations involve finite dimensional linear programs.