A Lie systems approach for the first passage-time of piecewise deterministic processes

Details A Lie systems approach for the first passage-time of piecewise deterministic processes A Lie systems approach for the first passage-time of piecewise deterministic processes

2010-08-16

arxiv.org/abs/1008.2625v1

Modern Trends of Controlled Stochastic Processes: Theory and Applications, pp. 144-160 (A.B.Piunovskiy ed), Luniver Press, 201

Mathematics

Probability

17 pages, 1 figure

Scientific paper

Our paper illustrates how the theory of Lie systems allows recovering known
results and provide new examples of piecewise deterministic processes with
phase-type jumps for which the corresponding first-time passage problems may be
solved explicitly.

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