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Approximation of the value function of an impulse control problem of Piecewise Deterministic Markov Processes
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Approximation of the value function of an impulse control problem of Piecewise Deterministic Markov Processes

Benoîte de Saporta, François Dufour et Huilong Zhang
18th IFAC world congress
18th IFAC world congress
2011

Résumé

Mathematics Probability
This paper presents a numerical method to approximate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying Markov chain defined by the post jump locations and inter-arrival times. Convergence results are obtained and more importantly we are able to give a convergence rate of the algorithm. This paper is illustrated by an example.

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Détails

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