Optimal stopping for partially observed piecewise-deterministic Markov processes

DOI10.1016/J.SPA.2013.03.006MaRDI QIDQ2447709zbMATH OpenOpenAlexFDO

Authors Adrien Brandejsky, Benoîte de Saporta, F. 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

filteringnumerical methodoptimal stoppingpartial observationpiecewise deterministic Markov processesquantization

Mathematics Subject Classification ID

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

Abstract: This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of the partially observed optimal stopping problem. Then, we propose a numerical method, based on the quantization of the discrete-time filter process and the inter-jump times, to approximate the value function and to compute an actual $epsilon$-optimal stopping time. We prove the convergence of the algorithms and bound the rates of convergence.

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Cited in

(14)

• A simulation approach to optimal stopping under partial information
• Partially observed optimal stopping problem for discrete-time Markov processes
• Change-point detection for piecewise deterministic Markov processes
• Greedy vector quantization
• Numerical method for optimal stopping of piecewise deterministic Markov processes
• Semi-parametric inference for the absorption features of a growth-fragmentation model
• Pointwise convergence of the Lloyd I algorithm in higher dimension
• scientific article; zbMATH DE number 5713316 (Why is no real title available?)
• scientific article; zbMATH DE number 3925901 (Why is no real title available?)
• Approximations of the optimal stopping problem in partial observation
• Optimal stopping of a piecewise-deterministic markov process
• Optimal control of partially observable piecewise deterministic Markov processes
• Optimal Stopping Under Partial Observation: Near-Value Iteration
• The problem of optimal stopping in a partially observable Markov chain

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