Averaging for some simple constrained Markov processes

Alexandre Genadot (1, 2, 3)

1 IMB - Institut de Mathématiques de Bordeaux
2 Inria Bordeaux - Sud-Ouest
3 CQFD - Quality control and dynamic reliability

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.

Mots clés: piecewise deterministic Markov process; averaging

Domaines: Probabilités [math.PR]

Alexandre Genadot. Averaging for some simple constrained Markov processes. 2016. ⟨hal-01336752v1⟩