Averaging for some simple constrained Markov processes

Alexandre Genadot (1)

1 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: averaging; piecewise deterministic Markov process

Domaines: Probabilités [math.PR]

Alexandre Genadot. Averaging for some simple constrained Markov processes. Probability and Mathematical Statistics, inPress. ⟨hal-01336752v2⟩