A Lie systems approach for the first passage-time of piecewise deterministic processes
classification
🧮 math.PR
keywords
deterministicpiecewiseprocessessystemsallowsapproachcorrespondingexamples
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Our paper illustrates how the theory of Lie systems allows recovering known results and provide new examples of piecewise deterministic processes with phase-type jumps for which the corresponding first-time passage problems may be solved explicitly.
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