A finite difference method for piecewise deterministic Markov processes
Fuente:
arXiv
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2006
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866918162943967232 |
|---|---|
| author | Annunziato, Mario |
| author_facet | Annunziato, Mario |
| contents | An extension of non-deterministic processes driven by the random telegraph signal is introduced in the framework of "piecewise deterministic Markov processes" [Davis], including a broader category of random systems. The corresponding Liouville-Master Equation is established and the upwind method is applied to numerical calculation of the distribution function. The convergence of the numerical solution is proved under an appropriate Courant-Friedrichs-Lewy condition. The same condition preserve the non-decreasing property of the calculated distribution function. Some numerical tests are presented. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_math_0606588 |
| institution | arXiv |
| publishDate | 2006 |
| record_format | arxiv |
| spellingShingle | A finite difference method for piecewise deterministic Markov processes Annunziato, Mario Numerical Analysis 65-06; 65M06; 65M12; 60K40; 60J25; 60J75 An extension of non-deterministic processes driven by the random telegraph signal is introduced in the framework of "piecewise deterministic Markov processes" [Davis], including a broader category of random systems. The corresponding Liouville-Master Equation is established and the upwind method is applied to numerical calculation of the distribution function. The convergence of the numerical solution is proved under an appropriate Courant-Friedrichs-Lewy condition. The same condition preserve the non-decreasing property of the calculated distribution function. Some numerical tests are presented. |
| title | A finite difference method for piecewise deterministic Markov processes |
| topic | Numerical Analysis 65-06; 65M06; 65M12; 60K40; 60J25; 60J75 |
| url | https://arxiv.org/abs/math/0606588 |