Optimal stopping for partially observed piecewise-deterministic Markov processes

DOI10.1016/j.spa.2013.03.006zbMath1291.60080arXiv1207.2886OpenAlexW2051021044MaRDI QIDQ2447709

Adrien Brandejsky, Benoîte De Saporta, François Dufour

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.2886

zbMATH Keywords

numerical methodoptimal stoppingquantizationfilteringpiecewise deterministic Markov processespartial observation

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (5)

Change-point detection for piecewise deterministic Markov processes ⋮ Optimal Control of Partially Observable Piecewise Deterministic Markov Processes ⋮ Greedy vector quantization ⋮ Pointwise Convergence of the Lloyd I Algorithm in Higher Dimension ⋮ Semi-parametric inference for the absorption features of a growth-fragmentation model

Cites Work

• Unnamed Item
• Unnamed Item
• Numerical method for expectations of piecewise deterministic Markov processes
• Markov decision processes with applications to finance.
• On optimal investment in a reinsurance context with a point process market model
• On the long time behavior of the TCP window size process
• Point processes and queues. Martingale dynamics
• Filtering the histories of a partially observed marked point process
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Numerical method for optimal stopping of piecewise deterministic Markov processes
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation
• Fluid limit theorems for stochastic hybrid systems with application to neuron models
• Optimal stopping of a piecewise-deterministic markov process
• Quantization
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

This page was built for publication: Optimal stopping for partially observed piecewise-deterministic Markov processes