Numerical method for optimal stopping of hybrid processes
hal.structure.identifier | Groupe de Recherche en Economie Théorique et Appliquée [GREThA] | |
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
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 | |
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
dc.contributor.author | GONZALEZ, Karen | |
dc.date.accessioned | 2024-04-04T02:33:27Z | |
dc.date.available | 2024-04-04T02:33:27Z | |
dc.date.issued | 2009 | |
dc.date.conference | 2009-09 | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/190480 | |
dc.description.abstractEn | We 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.iso | en | |
dc.source.title | Preprints of the 3rd IFAC International Conference on Analysis and Design of Hybrid Systems | |
dc.subject.en | hybrid processes | |
dc.subject.en | piecewise deterministic Markov processes | |
dc.subject.en | quantization | |
dc.subject.en | convergence of numerical method | |
dc.subject.en | dynamic programming | |
dc.subject.en | numeric control | |
dc.title.en | Numerical method for optimal stopping of hybrid processes | |
dc.type | Communication dans un congrès | |
dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
bordeaux.page | 114-119 | |
bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
bordeaux.institution | Université de Bordeaux | |
bordeaux.institution | Bordeaux INP | |
bordeaux.institution | CNRS | |
bordeaux.conference.title | 3rd IFAC International Conference on Analysis and Design of Hybrid Systems | |
bordeaux.country | ES | |
bordeaux.title.proceeding | Preprints of the 3rd IFAC International Conference on Analysis and Design of Hybrid Systems | |
bordeaux.conference.city | Zaragoza | |
bordeaux.peerReviewed | oui | |
hal.identifier | hal-00418388 | |
hal.version | 1 | |
hal.invited | non | |
hal.proceedings | oui | |
hal.popular | non | |
hal.audience | Internationale | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-00418388v1 | |
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