26 citations · 88 across the 19 of their papers we have counts for
3 papers · 1 filter
Numerical methods for the exit time of a piecewise-deterministic Markov process
Adrien Brandejsky, Benoîte de Saporta, François Dufour
We present a numerical method to compute the survival function and the moments of the exit time for a piecewise-deterministic Markov process (PDMP). Our approach is based on the qu…
Parameters estimation for asymmetric bifurcating autoregressive processes with missing data
Benoîte de Saporta, Anne Gégout-Petit, Laurence Marsalle
We estimate the unknown parameters of an asymmetric bifurcating autoregressive process (BAR) when some of the data are missing. In this aim, we model the observed data by a two-typ…
Numerical method for impulse control of Piecewise Deterministic Markov Processes
Benoîte de Saporta, François Dufour
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach i…