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

Operations Research

Volumn 49, Issue 4, 2001, Pages 516-530

  Helmes, Kurt ^b   Röhl, Stefan ^b   Stockbridge, Richard H ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

DIFFERENCE EQUATIONS; ITERATIVE METHODS; LINEAR PROGRAMMING; METHOD OF MOMENTS;

HAUSDORFF INEQUALITIES;

MARKOV PROCESSES;

EID: 0034751528     PISSN: 0030364X     EISSN: None     Source Type: Journal    
DOI: 10.1287/opre.49.4.516.11221     Document Type: Article

References (23)

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9. Dynamic sampling plan in Shiryaev-Roberts procedure for detecting a change in the drift of Brownian motion
10. Time-average control of martingale problems: Existence of a stationary solution
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12. On approximation by polygons in the calculus of variations