Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming

Mathematical Methods of Operations Research

Volumn 53, Issue 2, 2001, Pages 309-331

  Helmes, Kurt ^a   Stockbridge, Richard H ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b UNIVERSITY OF KENTUCKY   (United States)

Author keywords

Brownian motion; Cameron Martin formula; Hausdorff moment conditions; Laplace transforms; Linear programming; Markov processes; Ornstein Uhlenbeck process; Resolvents

Indexed keywords

EID: 0034959868     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860100121     Document Type: Article

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