Numerical method for optimal stopping of piecewise deterministic Markov 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 | |
dc.date.accessioned | 2024-04-04T02:36:36Z | |
dc.date.available | 2024-04-04T02:36:36Z | |
dc.date.created | 2009 | |
dc.date.conference | 2009-06 | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/190732 | |
dc.description.abstractEn | In this talk, the optimal stopping problem of piecewise-deterministic Markov processes is studied. Such processes consist of a mixture of deterministic motion and random jumps. An approximation of the value function and a construction of ε-optimal stopping times will be presented. Convergence of the approximation schemes will be shown and convergence rates will be derived. | |
dc.language.iso | en | |
dc.title.en | Numerical method for optimal stopping of piecewise deterministic Markov Processes | |
dc.type | Communication dans un congrès | |
dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
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 | Cinquième Rencontre de Statistiques Mathématiques BORDEAUX-SANTANDER-TOULOUSE-VALLADOLID | |
bordeaux.country | FR | |
bordeaux.conference.city | Le Teich | |
bordeaux.peerReviewed | oui | |
hal.identifier | hal-00392838 | |
hal.version | 1 | |
hal.invited | non | |
hal.proceedings | non | |
hal.popular | non | |
hal.audience | Non spécifiée | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-00392838v1 | |
bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.au=DE%20SAPORTA,%20Beno%C3%AEte&DUFOUR,%20Fran%C3%A7ois&rft.genre=unknown |
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