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Numerical method for optimal stopping of piecewise deterministic Markov processes
DE SAPORTA, Benoîte
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
DUFOUR, François
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
GONZALEZ, Karen
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
DE SAPORTA, Benoîte
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
DUFOUR, François
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
GONZALEZ, Karen
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
< Reduce
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Language
en
Article de revue
This item was published in
The Annals of Applied Probability. 2010, vol. 20, n° 5, p. 1607-1637
Institute of Mathematical Statistics (IMS)
English Abstract
We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). Our approach is based on quantization of the post jump location -- ...Read more >
We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). 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 epsilon-optimal stopping time. The paper is illustrated by a numerical example.Read less <
ANR Project
Contrôle tolérant aux pannes pour les systèmes embarqués - ANR-09-SEGI-0004
Origin
Hal imported