Approximations for optimal stopping of a piecewise-deterministic process
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.
scientific article; zbMATH DE number 4074954
scientific article