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Numerical method for optimal stopping of piecewise deterministic Markov processes - MaRDI portal

Numerical method for optimal stopping of piecewise deterministic Markov processes (Q1958493)

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Numerical method for optimal stopping of piecewise deterministic Markov processes
scientific article

    Statements

    title
    Numerical method for optimal stopping of piecewise deterministic Markov processes (English)
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    author
    Karen Gonzalez
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    Benoîte De Saporta
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    François Dufour
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    publication date
    4 October 2010
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    zbMATH Keywords
    optimal stopping
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    piecewise deterministic Markov processes
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    quantization
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    numerical method
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    dynamic programming
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    Identifiers

    DOI
    10.1214/09-AAP667
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    Mathematics Subject Classification ID
    93E20
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    93E03
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    60J75
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    49L20
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    60J05
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    zbMATH DE Number
    5795065
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    arXiv ID
    0903.2114
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