Averaging for some simple constrained Markov processes
classification
🧮 math.PR
keywords
markovaveragingdeterministicdynamicpiecewiseprocessprocessesunderlying
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In this paper, a class of piecewise deterministic Markov processes with underlying fast dynamic is studied. Using a "penalty method" , an averaging result is obtained when the underlying dynamic is infinitely accelerated. The features of the averaged process, which is still a piecewise deterministic Markov process, are fully described.
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