Optimal stopping for partially observed piecewise-deterministic Markov processes
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DOI: 10.1016/j.spa.2013.03.006
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References listed on IDEAS
- Arjas, Elja & Haara, Pentti & Norros, Ikka, 1992. "Filtering the histories of a partially observed marked point process," Stochastic Processes and their Applications, Elsevier, vol. 40(2), pages 225-250, March.
- Vlad Bally & Gilles Pagès & Jacques Printems, 2005. "A Quantization Tree Method For Pricing And Hedging Multidimensional American Options," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 119-168, January.
- Chafaï, Djalil & Malrieu, Florent & Paroux, Katy, 2010. "On the long time behavior of the TCP window size process," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1518-1534, August.
- Pham Huyên & Runggaldier Wolfgang & Sellami Afef, 2005. "Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation," Monte Carlo Methods and Applications, De Gruyter, vol. 11(1), pages 57-81, March.
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Cited by:
- Romain Azaïs & Alexandre Genadot, 2015. "Semi-parametric inference for the absorption features of a growth-fragmentation model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 341-360, June.
- Anis Ben Abdessalem & Romain Azaïs & Marie Touzet-Cortina & Anne Gégout-Petit & Monique Puiggali, 2016. "Stochastic modelling and prediction of fatigue crack propagation using piecewise-deterministic Markov processes," Journal of Risk and Reliability, , vol. 230(4), pages 405-416, August.
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More about this item
Keywords
Optimal stopping; Partial observation; Filtering; Piecewise deterministic Markov processes; Quantization; Numerical method;All these keywords.
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