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Numerical method for optimal stopping of piecewise deterministic Markov processes

hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierGroupe de Recherche en Economie Théorique et Appliquée [GREThA]
dc.contributor.authorDE SAPORTA, Benoîte
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorDUFOUR, François
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorGONZALEZ, Karen
dc.date.accessioned2024-04-04T02:41:18Z
dc.date.available2024-04-04T02:41:18Z
dc.date.created2009-03-12
dc.date.issued2010
dc.identifier.issn1050-5164
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/191139
dc.description.abstractEnWe 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.sponsorshipContrôle tolérant aux pannes pour les systèmes embarqués - ANR-09-SEGI-0004
dc.language.isoen
dc.publisherInstitute of Mathematical Statistics (IMS)
dc.title.enNumerical method for optimal stopping of piecewise deterministic Markov processes
dc.typeArticle de revue
dc.identifier.doi10.1214/09-AAP667
dc.subject.halMathématiques [math]/Probabilités [math.PR]
dc.identifier.arxiv0903.2114
bordeaux.journalThe Annals of Applied Probability
bordeaux.page1607-1637
bordeaux.volume20
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.issue5
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-00367964
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00367964v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=The%20Annals%20of%20Applied%20Probability&rft.date=2010&rft.volume=20&rft.issue=5&rft.spage=1607-1637&rft.epage=1607-1637&rft.eissn=1050-5164&rft.issn=1050-5164&rft.au=DE%20SAPORTA,%20Beno%C3%AEte&DUFOUR,%20Fran%C3%A7ois&GONZALEZ,%20Karen&rft.genre=article


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