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Partially observed optimal stopping problem for discrete-time Markov processes

hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierInstitut Montpelliérain Alexander Grothendieck [IMAG]
dc.contributor.authorDE SAPORTA, Benoîte
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorDUFOUR, François
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorNIVOT, Christophe
dc.date.created2016
dc.date.issued2017
dc.identifier.issn1619-4500
dc.description.abstractEnThis paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization procedure based on optimal quantization. First,we discretize the state space of the unobserved variable by quantizing an underlying reference measure. Then we jointly discretize the resulting approximate filter and the observation process. We obtain a fully computable approximation of the value function with explicit error bounds for its convergence towards the true value fonction.
dc.language.isoen
dc.publisherSpringer Verlag
dc.rights.urihttp://hal.archives-ouvertes.fr/licences/copyright/
dc.title.enPartially observed optimal stopping problem for discrete-time Markov processes
dc.typeArticle de revue
dc.identifier.doi10.1007/s10288-016-0337-8
dc.subject.halMathématiques [math]/Probabilités [math.PR]
dc.identifier.arxiv1602.04609
bordeaux.journal4OR: A Quarterly Journal of Operations Research
bordeaux.page277-302
bordeaux.volume15
bordeaux.peerReviewedoui
hal.identifierhal-01274645
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01274645v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=4OR:%20A%20Quarterly%20Journal%20of%20Operations%20Research&rft.date=2017&rft.volume=15&rft.spage=277-302&rft.epage=277-302&rft.eissn=1619-4500&rft.issn=1619-4500&rft.au=DE%20SAPORTA,%20Beno%C3%AEte&DUFOUR,%20Fran%C3%A7ois&NIVOT,%20Christophe&rft.genre=article


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