Approximations for optimal stopping of a piecewise-deterministic process (Q1111525)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximations for optimal stopping of a piecewise-deterministic process |
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Approximations for optimal stopping of a piecewise-deterministic process (English)
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1988
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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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stopping problem
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deterministic process with random jumps
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piecewise deterministic process
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\(\epsilon \) -optimal control
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discretized problems
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