APPROXIMATION FOR OPTIMAL STOPPING OF A PIECEWISE-DETERMINISTIC PROCESS.

被引:0
|
作者
Costa, O.L.V. [1 ]
Davis, M.H.A. [1 ]
机构
[1] Imperial Coll, London, Engl, Imperial Coll, London, Engl
关键词
D O I
暂无
中图分类号
学科分类号
摘要
24
引用
收藏
页码:123 / 146
相关论文
共 50 条
  • [1] Optimal stopping for partially observed piecewise-deterministic Markov processes
    Brandejsky, Adrien
    de Saporta, Benoite
    Dufour, Francois
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2013, 123 (08) : 3201 - 3238
  • [2] Hermite approximation of a hyperbolic Fokker-Planck optimality system to control a piecewise-deterministic process
    Mohammadi, Masoumeh
    Borzi, Alfio
    INTERNATIONAL JOURNAL OF CONTROL, 2016, 89 (07) : 1382 - 1395
  • [3] NUMERICAL METHODS FOR THE EXIT TIME OF A PIECEWISE-DETERMINISTIC MARKOV PROCESS
    Brandejsky, Adrien
    De Saporta, Benoite
    Dufour, Francois
    ADVANCES IN APPLIED PROBABILITY, 2012, 44 (01) : 196 - 225
  • [4] Piecewise-deterministic Markov processes
    Kazak, Jolanta
    ANNALES POLONICI MATHEMATICI, 2013, 109 (03) : 279 - 296
  • [5] Optimal dividend policies for piecewise-deterministic compound Poisson risk models
    Feng, Runhuan
    Volkmer, Hans W.
    Zhang, Shuaiqi
    Zhu, Chao
    SCANDINAVIAN ACTUARIAL JOURNAL, 2015, (05) : 423 - 454
  • [6] Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling
    Farid, MF
    Davis, MHA
    ANNALS OF OPERATIONS RESEARCH, 1999, 88 (0) : 121 - 137
  • [7] AVERAGING FOR A FULLY COUPLED PIECEWISE-DETERMINISTIC MARKOV PROCESS IN INFINITE DIMENSIONS
    Genadot, Alexandre
    Thieullen, Michele
    ADVANCES IN APPLIED PROBABILITY, 2012, 44 (03) : 749 - 773
  • [8] Subgeometric hypocoercivity for piecewise-deterministic Markov process Monte Carlo methods
    Andrieu, Christophe
    Dobson, Paul
    Wang, Andi Q.
    ELECTRONIC JOURNAL OF PROBABILITY, 2021, 26
  • [9] Stability of piecewise-deterministic Markov processes
    Dufour, F
    Costa, OLV
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1999, 37 (05) : 1483 - 1502
  • [10] Stability of piecewise-deterministic Markov processes
    Dufour, François
    Costa, Oswaldo L. V.
    SIAM Journal on Control and Optimization, 37 (05): : 1483 - 1502