Approximations for optimal stopping of a piecewise-deterministic process
type: Item
instance of: scholarly article
title: Approximations for optimal stopping of a piecewise-deterministic process
zbMATH Open document ID: 0657.93077
DOI: 10.1007/BF02551405
published in: MCSS. Mathematics of Control, Signals, and Systems
publication date: 1988-01-01T00:00:00Z
review text: For the stopping problem of a deterministic process with random jumps, a so-called piecewise deterministic process PDP, the authors construct an \(\epsilon\)-optimal control. The convergence of the pay off function for discretized PDP's is studied and an \(\epsilon\)-optimal control for the original problem is constructed from the approximating sequence of discretized problems. A numerical example is given.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 4074954
zbMATH Keywords: stopping problem
zbMATH Keywords: deterministic process with random jumps
zbMATH Keywords: piecewise deterministic process
zbMATH Keywords: \(\epsilon \) -optimal control
zbMATH Keywords: discretized problems
author: Oswaldo Luiz V. Costa
author: Mark H. A. Davis
reviewed by: Michael Kohlmann
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf02551405
OpenAlex ID: W23780305
description: scientific article; zbMATH DE number 4074954