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ArticleApproximations for optimal stopping of a piecewise-deterministic process

O.L.V. Costa1988

Article1988

Approximations for optimal stopping of a piecewise-deterministic process

O.L.V. Costa · Mark H. Davis

35 citations·0/0 files stored·Mathematics of Control Signals and Systems

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Stochastic processes and financial applications Probability and Risk Models Adaptive Dynamic Programming Control

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References

1984Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations 1986Optimal Control with State-Space Constraint. II 1987Optimal capacity expansion under uncertainty 1976The Representation of Martingales of Jump Processes 1985Optimal control of piecewise deterministic markov process 1977Temps d'arrÊt optimal, théorie générale des processus et processus de Markov 1989Impulse control of piecewise-deterministic processes

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1992Optimality conditions for impulsive control of piecewise-deterministic processes 2009Numerical method for optimal stopping of piecewise deterministic Markov Processes 2010Numerical method for optimal stopping of piecewise deterministic Markov processes

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Year1988

Typearticle

Published1988-06-01

VenueMathematics of Control Signals and Systems

ISSN-L0932-4194

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf02551405

openalex_workW23780305

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