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We present a numerical method to compute the survival function and themoments of the exit time for a piecewise-deterministic Markov process (PDMP).Our approach is based on the quantization of an underlying discrete-time Markovchain related to the PDMP. The approximation we propose is easily computableand is even flexible with respect to the exit time we consider. We prove theconvergence of the algorithm and obtain bounds for the rate of convergence inthe case of the moments. An academic example and a model from the reliabilityfield illustrate the paper.

Numerical methods for the exit time of a piecewise-deterministic Markov process