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arXiv · 2107.11611

Numerical solution of a matrix integral equation arising in Markov Modulated L\'evy processes

Dario A. Bini·Guy Latouche·Beatrice Meini
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Abstract

Markov-modulated L\'evy processes lead to matrix integral equations of the kind $ A_0 + A_1X+A_2 X^2+A_3(X)=0$ where $A_0$, $A_1$, $A_2$ are given matrix coefficients, while $A_3(X)$ is a nonlinear function, expressed in terms of integrals involving the exponential of the matrix $X$ itself. In this paper we propose some numerical methods for the solution of this class of matrix equations, perform a theoretical convergence analysis and show the effectiveness of the new methods by means of a wide numerical experimentation.

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Dario A. Bini, Guy Latouche, Beatrice Meini. 2021-07-24. Numerical solution of a matrix integral equation arising in Markov Modulated L\'evy processes. https://arxiv.org/abs/2107.11611

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