Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155649 | Stochastic Processes and their Applications | 2013 | 38 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Adrien Brandejsky, Benoîte de Saporta, François Dufour,