BRANDEJSKY, Adrien; DE SAPORTA, Benoîte; DUFOUR, François

doi:10.1016/j.spa.2013.03.006

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BRANDEJSKY, Adrien
Quality control and dynamic reliability [CQFD]

DE SAPORTA, Benoîte
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]

DUFOUR, François
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]

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Stochastic Processes and their Applications. 2013, vol. 123, p. 3201-3238

Elsevier

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This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of the partially observed optimal stopping problem. Then, we propose a numerical method, based on the quantization of the discrete-time filter process and the inter-jump times, to approximate the value function and to compute an actual $\epsilon$-optimal stopping time. We prove the convergence of the algorithms and bound the rates of convergence.< Leer menos

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Optimal stopping for partially observed piecewise-deterministic Markov processes

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