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Optimal stopping for partially observed piecewise-deterministic Markov processes

hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorBRANDEJSKY, Adrien
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierGroupe de Recherche en Economie Théorique et Appliquée [GREThA]
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
dc.date.accessioned2024-04-04T02:24:14Z
dc.date.available2024-04-04T02:24:14Z
dc.date.created2012-07-12
dc.date.issued2013
dc.identifier.issn0304-4149
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/189799
dc.description.abstractEnThis paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of the partially observed optimal stopping problem. Then, we propose a numerical method, based on the quantization of the discrete-time filter process and the inter-jump times, to approximate the value function and to compute an actual $\epsilon$-optimal stopping time. We prove the convergence of the algorithms and bound the rates of convergence.
dc.language.isoen
dc.publisherElsevier
dc.title.enOptimal stopping for partially observed piecewise-deterministic Markov processes
dc.typeArticle de revue
dc.identifier.doi10.1016/j.spa.2013.03.006
dc.subject.halMathématiques [math]/Probabilités [math.PR]
dc.identifier.arxiv1207.2886
bordeaux.journalStochastic Processes and their Applications
bordeaux.page3201-3238
bordeaux.volume123
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-00755052
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00755052v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic%20Processes%20and%20their%20Applications&rft.date=2013&rft.volume=123&rft.spage=3201-3238&rft.epage=3201-3238&rft.eissn=0304-4149&rft.issn=0304-4149&rft.au=BRANDEJSKY,%20Adrien&DE%20SAPORTA,%20Beno%C3%AEte&DUFOUR,%20Fran%C3%A7ois&rft.genre=article


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