Work

Numerical method for impulse control of Piecewise Deterministic Markov Processes

Year: 2010

Type: preprint

Abstract: 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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1011.5812

Authors: de Saporta, Benoîte, Dufour, François

Institutions: Centre National de la Recherche Scientifique, Université de Bordeaux, Centre Inria de l'université de Bordeaux, Institut de Mathématiques de Bordeaux

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Agence Nationale de la Recherche

Award: G5659635680

OpenAlex ID: W4296979841

Cites:

Cited by: 1

Related to: 10