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Numerical method for impulse control of Piecewise Deterministic Markov Processes
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Numerical method for impulse control of Piecewise Deterministic Markov Processes

Benoîte de Saporta et François Dufour
Automatica (Oxford), Vol.48(5), pp.779-793
01/05/2012

Résumé

Mathematics Probability
This paper presents a numerical method to calculate 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 location and inter-arrival time. Convergence results are obtained and more importantly we are able to give a convergence rate of the algorithm. The paper is illustrated by a numerical example.

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