Almost sure convergence of numerical approximations for Piecewise Deterministic Markov Processes
نویسندگان
چکیده
منابع مشابه
Numerical method for optimal stopping of piecewise deterministic Markov processes
We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). 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 an...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2013
ISSN: 0377-0427
DOI: 10.1016/j.cam.2012.09.021