Numerical method for optimal stopping of hybrid processes - Archive ouverte HAL Accéder directement au contenu
Communication Dans Un Congrès Année : 2009

Numerical method for optimal stopping of hybrid processes

Résumé

We propose a numerical method to approximate the value function for the optimal stopping problem of a general class of hybrid processes, namely piecewise deterministic Markov processes (PDMP's). Our approach is based on quantization of the post jump location inter-arrival time Markov chain naturally embedded in the PDMP, and path-adapted time discretization grids. It allows us to derive bounds for the convergence rate of the algorithm and to provide a computable -optimal stopping time.
Fichier non déposé

Dates et versions

hal-00418388 , version 1 (18-09-2009)

Identifiants

  • HAL Id : hal-00418388 , version 1

Citer

Benoîte de Saporta, François Dufour, Karen Gonzalez. Numerical method for optimal stopping of hybrid processes. 3rd IFAC International Conference on Analysis and Design of Hybrid Systems, Sep 2009, Zaragoza, Spain. pp.114-119. ⟨hal-00418388⟩
65 Consultations
0 Téléchargements

Partager

Gmail Facebook X LinkedIn More