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Numerical methods for the exit time of a piecewise-deterministic Markov process
exit time piecewise deterministic Markov processes quantization
2011/1/21
We present a numerical method to compute the survival function and the moments of the exit time for a piecewise-deterministic Markov process (PDMP).
In this paper we investigate the probabdity that or-stable
LCvy process stays in convex body up to time t. This can be optimally
estimated from below by the same probability but of the rotationally
...