A Lie systems approach for the first passage-time of piecewise deterministic processes
Probability
2011-04-07 v1
Abstract
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.
Cite
@article{arxiv.1008.2625,
title = {A Lie systems approach for the first passage-time of piecewise deterministic processes},
author = {Florin Avram and José F. Cariñena and Javier de Lucas},
journal= {arXiv preprint arXiv:1008.2625},
year = {2011}
}
Comments
17 pages, 1 figure