A finite difference method for piecewise deterministic Markov processes

Details A finite difference method for piecewise deterministic Markov processes A finite difference method for piecewise deterministic Markov processes

2006-06-23

arxiv.org/abs/math/0606588v4

Mathematics

Numerical Analysis

12 pages, 2 figures, submitted to Elsevier

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

A finite difference method for piecewise deterministic Markov processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A finite difference method for piecewise deterministic Markov processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A finite difference method for piecewise deterministic Markov processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-529608