Numerical method for optimal stopping of piecewise deterministic Markov processes

DOI10.1214/09-AAP667zbMath1197.93162arXiv0903.2114MaRDI QIDQ1958493

Karen Gonzalez, Benoîte De Saporta, François Dufour

Publication date: 4 October 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.2114

zbMATH Keywords

numerical methoddynamic programmingoptimal stoppingquantizationpiecewise deterministic Markov processes

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03)

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