Dynamic State Space Truncation

Approximate adaptive uniformization of continuous-time Markov chains

We consider the approximation of transient (time dependent) probability distributions of discrete-state continuous-time Markov chains …

@article{andreychenkoApproximateAdaptiveUniformizationOf2018,
 author = {Alexander Andreychenko and Werner Sandmann and Verena Wolf},
 doi = {10.1016/j.apm.2018.05.009},
 journal = {Applied Mathematical Modelling},
 pages = {561-576},
 publisher = {ScienceDirect},
 title = {Approximate adaptive uniformization of continuous-time Markov chains},
 url = {https://www.sciencedirect.com/science/article/pii/S0307904X18302191},
 volume = {61},
 year = {2018}
}