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Computing first passage times for Markov-modulated fluid models using numerical PDE problem solvers.
Debarati Bhaumik
Marko A. A. Boon
Daan Crommelin
Barry Koren
Bert Zwart
Published in:
CoRR (2020)
Keyphrases
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markov modulated
numerical algorithms
numerical methods
dynamic programming
decision making
support vector
partial differential equations
stochastic model
poisson process