Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
721075 | IFAC Proceedings Volumes | 2009 | 6 Pages |
Abstract
We propose a numerical method to approximate the value function for the optimal stopping problem of a general class of hybrid processes, namely piecewise deterministic Markov processes (PDMP's). 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 e-optimal stopping time.
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Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
Benoîte de Saporta, François Dufour, Karen Gonzalez,