Linear programming and the inverse method of images

Paul Zipkin ()

Annals of Operations Research, 2013, vol. 208, issue 1, 227-243

Abstract: The inverse method of images is a relatively easy way to find approximate solutions to first-passage time problems. We extend the method in several ways: We use a linear program instead of a system of linear equations; we utilize asymptotic information in addition to values at finite points; and we use a larger palette of approximating functions. These techniques enhance the scope, flexibility and accuracy of the method. Copyright Springer Science+Business Media New York 2013

Keywords: Linear programming; First-passage times; Diffusion processes (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10479-012-1249-4

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