Numerical method
for optimal stopping of piecewise deterministic Markov Processes
François Dufour
Université de Bordeaux, France
In this talk, the optimal stopping problem of piecewise-deterministic
Markov processes is
studied.
Such processes consist of a mixture of deterministic motion and random
jumps. An
approximation of the value function and a construction of ε-optimal
stopping
times will be presented. Convergence of the approximation schemes will
be shown and
convergence rates will be derived.