Numerical method for optimal stopping of piecewise deterministic Markov Processes

Abstract : In this talk, the optimal stopping problem of piecewise-deterministic Markov processes is studied. Such processes consist of a mixture of deterministic motion and random jumps. An approximation of the value function and a construction of ε-optimal stopping times will be presented. Convergence of the approximation schemes will be shown and convergence rates will be derived.
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https://hal.archives-ouvertes.fr/hal-00392838
Contributor : Benoîte de Saporta <>
Submitted on : Tuesday, June 9, 2009 - 10:43:26 AM
Last modification on : Wednesday, December 5, 2018 - 9:02:05 AM

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Benoîte de Saporta, François Dufour. Numerical method for optimal stopping of piecewise deterministic Markov Processes. Cinquième Rencontre de Statistiques Mathématiques BORDEAUX-SANTANDER-TOULOUSE-VALLADOLID, Jun 2009, Le Teich, France. ⟨hal-00392838⟩

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