Numerical method for optimal stopping of piecewise deterministic Markov processes
Probability
2016-08-14 v2
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---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 -optimal stopping time. The paper is illustrated by a numerical example.
Cite
@article{arxiv.0903.2114,
title = {Numerical method for optimal stopping of piecewise deterministic Markov processes},
author = {Benoîte de Saporta and François Dufour and Karen Gonzalez},
journal= {arXiv preprint arXiv:0903.2114},
year = {2016}
}
Comments
Published in at http://dx.doi.org/10.1214/09-AAP667 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)