Numerical methods for piecewise deterministic Markov processes with boundary
نویسندگان
چکیده
منابع مشابه
Numerical methods for optimal control of piecewise deterministic Markov processes
Scientific Research context: In 1980, M.H.A. Davis [1] introduced in probability theory Piecewise Deterministic Markov Processes (PDMP) as a general class of models suitable for formulating optimization problems in queuing and inventory systems, maintenance-replacement models, investment scheduling and many other areas of operation research. In the continuous-time context, stochastic control th...
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ژورنال
عنوان ژورنال: IMA Journal of Numerical Analysis
سال: 2016
ISSN: 0272-4979,1464-3642
DOI: 10.1093/imanum/drv069