| Title | Numerical method for optimal stopping of piecewise deterministic Markov processes |
| Publication Type | Journal Article |
| Year of Publication | 2010 |
| Authors | Benoîte de Saporta, François Dufour, and Karen Gonzalez |
| Keywords | dynamic programming, numerical method, Optimal Stopping, piecewise deterministic Markov processes, quantization |
| Abstract | We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). 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. The paper is illustrated by a numerical example.| Hosted by cogitel-forum. |
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