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hal.structure.identifierGroupe de Recherche en Economie Théorique et Appliquée [GREThA]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
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.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorGONZALEZ, Karen
dc.date.accessioned2024-04-04T02:33:27Z
dc.date.available2024-04-04T02:33:27Z
dc.date.issued2009
dc.date.conference2009-09
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/190480
dc.description.abstractEnWe 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.
dc.language.isoen
dc.source.titlePreprints of the 3rd IFAC International Conference on Analysis and Design of Hybrid Systems
dc.subject.enhybrid processes
dc.subject.enpiecewise deterministic Markov processes
dc.subject.enquantization
dc.subject.enconvergence of numerical method
dc.subject.endynamic programming
dc.subject.ennumeric control
dc.title.enNumerical method for optimal stopping of hybrid processes
dc.typeCommunication dans un congrès
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.page114-119
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.conference.title3rd IFAC International Conference on Analysis and Design of Hybrid Systems
bordeaux.countryES
bordeaux.title.proceedingPreprints of the 3rd IFAC International Conference on Analysis and Design of Hybrid Systems
bordeaux.conference.cityZaragoza
bordeaux.peerReviewedoui
hal.identifierhal-00418388
hal.version1
hal.invitednon
hal.proceedingsoui
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00418388v1
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