Optimal stopping for measure-valued piecewise deterministic Markov processes

DOI10.1017/JPR.2020.18zbMATH Open1446.60034arXiv1809.04824OpenAlexW3043261646MaRDI QIDQ3299446FDOQ3299446

Authors: Bertrand Cloez, Benoîte de Saporta, Maud Joubaud 

Publication date: 22 July 2020

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: This paper investigates the random horizon optimal stopping problem for measure-valued piecewise deterministic Markov processes (PDMPs). This is motivated by population dynamics applications, when one wants to monitor some characteristics of the individuals in a small population. The population and its individual characteristics can be represented by a point measure. We first define a PDMP on a space of locally finite measures. Then we define a sequence of random horizon optimal stopping problems for such processes. We prove that the value function of the problems can be obtained by iterating some dynamic programming operator. Finally we prove on a simple counter-example that controlling the whole population is not equivalent to controlling a random lineage.

Full work available at URL: https://arxiv.org/abs/1809.04824

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zbMATH Keywords

dynamic programmingMarkov processesoptimal stoppingpopulation dynamicsmeasure space

Mathematics Subject Classification ID

Population dynamics (general) (92D25) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited In (7)

• On Optimal Multiple Stopping of Markov Sequences
• Title not available (Why is that?)
• Title not available (Why is that?)
• A spatial measure-valued model for chemical reaction networks in heterogeneous systems
• Optimal starting—stopping problems for markov–feller processes
• Long-time behavior and Darwinian optimality for an asymmetric size-structured branching process
• Optimal stopping via measure transformation: the Beibel–Lerche approach

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