Approximations for optimal stopping of a piecewise-deterministic process
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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.
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Cited in
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