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Numerical evaluation of resolvents and Laplace transforms of Markov processes using linear programming |
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| Authors: | Kurt Helmes Richard H. Stockbridge |
| Affiliation: | (1) Institute of Operations Research, Humboldt University of Berlin, Berlin, Germany (e-mail: helmes@wiwi.hu-berlin.de), DE;(2) Department of Statistics, University of Kentucky, Lexington, KY 40506-0027 (e-mail: stockbri@uwm.edu), XX |
| Abstract: | |
| Keywords: | : Markov processes Laplace transforms resolvents linear programming Hausdorff moment conditions Brownian motion Ornstein-Uhlenbeck process Cameron-Martin formula |
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