Numerical method for impulse control of Piecewise Deterministic Markov Processes
Probability
2011-08-31 v2
Abstract
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying Markov chain defined by the post jump location and inter-arrival time. Convergence results are obtained and more importantly we are able to give a convergence rate of the algorithm. The paper is illustrated by a numerical example.
Cite
@article{arxiv.1011.5812,
title = {Numerical method for impulse control of Piecewise Deterministic Markov Processes},
author = {Benoîte de Saporta and François Dufour},
journal= {arXiv preprint arXiv:1011.5812},
year = {2011}
}
Comments
This work was supported by ARPEGE program of the French National Agency of Research (ANR), project "FAUTOCOES", number ANR-09-SEGI-004