Numerical method for optimal stopping of piecewise deterministic Markov processes
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
hal.structure.identifier | Groupe de Recherche en Economie Théorique et Appliquée [GREThA] | |
dc.contributor.author | DE SAPORTA, Benoîte | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
dc.contributor.author | DUFOUR, François | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
dc.contributor.author | GONZALEZ, Karen | |
dc.date.accessioned | 2024-04-04T02:41:18Z | |
dc.date.available | 2024-04-04T02:41:18Z | |
dc.date.created | 2009-03-12 | |
dc.date.issued | 2010 | |
dc.identifier.issn | 1050-5164 | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/191139 | |
dc.description.abstractEn | 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. | |
dc.description.sponsorship | Contrôle tolérant aux pannes pour les systèmes embarqués - ANR-09-SEGI-0004 | |
dc.language.iso | en | |
dc.publisher | Institute of Mathematical Statistics (IMS) | |
dc.title.en | Numerical method for optimal stopping of piecewise deterministic Markov processes | |
dc.type | Article de revue | |
dc.identifier.doi | 10.1214/09-AAP667 | |
dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
dc.identifier.arxiv | 0903.2114 | |
bordeaux.journal | The Annals of Applied Probability | |
bordeaux.page | 1607-1637 | |
bordeaux.volume | 20 | |
bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
bordeaux.issue | 5 | |
bordeaux.institution | Université de Bordeaux | |
bordeaux.institution | Bordeaux INP | |
bordeaux.institution | CNRS | |
bordeaux.peerReviewed | oui | |
hal.identifier | hal-00367964 | |
hal.version | 1 | |
hal.popular | non | |
hal.audience | Internationale | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-00367964v1 | |
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