Optimal stopping for partially observed piecewise-deterministic Markov processes
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | BRANDEJSKY, Adrien | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| hal.structure.identifier | Groupe de Recherche en Economie Théorique et Appliquée [GREThA] | |
| dc.contributor.author | DE SAPORTA, Benoîte | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | DUFOUR, François | |
| dc.date.accessioned | 2024-04-04T02:24:14Z | |
| dc.date.available | 2024-04-04T02:24:14Z | |
| dc.date.created | 2012-07-12 | |
| dc.date.issued | 2013 | |
| dc.identifier.issn | 0304-4149 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/189799 | |
| dc.description.abstractEn | This 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.iso | en | |
| dc.publisher | Elsevier | |
| dc.title.en | Optimal stopping for partially observed piecewise-deterministic Markov processes | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1016/j.spa.2013.03.006 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 1207.2886 | |
| bordeaux.journal | Stochastic Processes and their Applications | |
| bordeaux.page | 3201-3238 | |
| bordeaux.volume | 123 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-00755052 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00755052v1 | |
| bordeaux.COinS | ctx_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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