Numerical method for optimal stopping of piecewise deterministic Markov Processes - Archive ouverte HAL
Communication Dans Un Congrès Année : 2009

Numerical method for optimal stopping of piecewise deterministic Markov Processes

Résumé

In this talk, the optimal stopping problem of piecewise-deterministic Markov processes is studied. Such processes consist of a mixture of deterministic motion and random jumps. An approximation of the value function and a construction of ε-optimal stopping times will be presented. Convergence of the approximation schemes will be shown and convergence rates will be derived.
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hal-00392838 , version 1 (09-06-2009)

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  • HAL Id : hal-00392838 , version 1

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Benoîte de Saporta, François Dufour. Numerical method for optimal stopping of piecewise deterministic Markov Processes. Cinquième Rencontre de Statistiques Mathématiques BORDEAUX-SANTANDER-TOULOUSE-VALLADOLID, Jun 2009, Le Teich, France. ⟨hal-00392838⟩
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