کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155649 | 958754 | 2013 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal stopping for partially observed piecewise-deterministic Markov processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Optimal stopping for partially observed piecewise-deterministic Markov processes Optimal stopping for partially observed piecewise-deterministic Markov processes](/preview/png/1155649.png)
چکیده انگلیسی
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 ϵϵ-optimal stopping time. We prove the convergence of the algorithms and bound the rates of convergence.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 8, August 2013, Pages 3201–3238
Journal: Stochastic Processes and their Applications - Volume 123, Issue 8, August 2013, Pages 3201–3238
نویسندگان
Adrien Brandejsky, Benoîte de Saporta, François Dufour,