Averaging for some simple constrained Markov processes
Probability
2016-08-31 v2
Abstract
In this paper, a class of piecewise deterministic Markov processes with underlying fast dynamic is studied. Using a "penalty method" , an averaging result is obtained when the underlying dynamic is infinitely accelerated. The features of the averaged process, which is still a piecewise deterministic Markov process, are fully described.
Cite
@article{arxiv.1606.07577,
title = {Averaging for some simple constrained Markov processes},
author = {Alexandre Genadot},
journal= {arXiv preprint arXiv:1606.07577},
year = {2016}
}