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20152024
most citedMoment-SOS hierarchy and exit time of stochastic processes

3 citations

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math.OC2021★ 3 cited

Moment-SOS hierarchy and exit time of stochastic processes

Didier Henrion, Mauricio Junca, Mauricio Velasco

The moment sum of squares (moment-SOS) hierarchy produces sequences of upper and lower bounds on functionals of the exit time solution of a polynomial stochastic differential equat…