Numerical method for expectations of 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: Communications in Applied Mathematics and Computational Science
سال: 2012
ISSN: 2157-5452,1559-3940
DOI: 10.2140/camcos.2012.7.63