Computing moments of the exit time distribution for Markov processes by linear programming

作     者：Helmes, K Röhl, S 

作者机构：Humboldt Univ Inst Operat Res Berlin Germany Konrad Zuse Zentrum Informationstechn Berlin Berlin Germany Univ Kentucky Dept Stat Lexington KY 40506 USA 

出 版 物：《OPERATIONS RESEARCH》 (运筹学)

年 卷 期：2001年第49卷第4期

页      面：516-530页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：Mathematical moments Brownian motion Adjoints Linear programming Markov processes Poisson process Interest rates Martingales Algorithms Objective functions 

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.