@article{brandejsky:hal-00755052,
    Abstract = {{This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of the partially observed optimal stopping problem. Then, we propose a numerical method, based on the quantization of the discrete-time filter process and the inter-jump times, to approximate the value function and to compute an actual $\epsilon$-optimal stopping time. We prove the convergence of the algorithms and bound the rates of convergence.}},
    Author = {Brandejsky, Adrien and de Saporta, Beno{\^\i}te and Dufour, Fran{\c c}ois},
    File = {Optimal stopping for partially observed piecewise-deterministic Markov processes - Brandejsky, Saporta, Dufour (0) (0) - a - a - p.pdf},
    Journal = {Stochastic Processes and their Applications},
    Language = {Anglais},
    Pages = {3201-3238},
    Title = {{Optimal stopping for partially observed piecewise-deterministic Markov processes}},
    URL = {http://hal.archives-ouvertes.fr/hal-00755052},
    Volume = {123},
    Year = {2013},
    affiliation = {INRIA Bordeaux - Sud-Ouest - INRIA Bordeaux - Sud-Ouest , Institut de Math{\'e}matiques de Bordeaux - IMB , CQFD - INRIA Bordeaux - Sud-Ouest , Groupe de Recherche en Economie Th{\'e}orique et Appliqu{\'e}e - GREThA},
    audience = {internationale},
    bdsk-url-1 = {http://hal.archives-ouvertes.fr/hal-00755052},
    bdsk-url-2 = {http://dx.doi.org/10.1016/j.spa.2013.03.006},
    date-added = {2013-11-07 09:08:52 +0000},
    date-modified = {2013-11-07 09:08:52 +0000},
    hal_id = {hal-00755052},
    doi = {10.1016/j.spa.2013.03.006}
}

@article{brandejsky:hal-00755052, Abstract = {{This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of the partially observed optimal stopping problem. Then, we propose a numerical method, based on the quantization of the discrete-time filter process and the inter-jump times, to approximate the value function and to compute an actual $\epsilon$-optimal stopping time. We prove the convergence of the algorithms and bound the rates of convergence.}}, Author = {Brandejsky, Adrien and de Saporta, Beno{\^\i}te and Dufour, Fran{\c c}ois}, File = {Optimal stopping for partially observed piecewise-deterministic Markov processes - Brandejsky, Saporta, Dufour (0) (0) - a - a - p.pdf}, Journal = {Stochastic Processes and their Applications}, Language = {Anglais}, Pages = {3201-3238}, Title = {{Optimal stopping for partially observed piecewise-deterministic Markov processes}}, URL = {http://hal.archives-ouvertes.fr/hal-00755052}, Volume = {123}, Year = {2013}, affiliation = {INRIA Bordeaux - Sud-Ouest - INRIA Bordeaux - Sud-Ouest , Institut de Math{\'e}matiques de Bordeaux - IMB , CQFD - INRIA Bordeaux - Sud-Ouest , Groupe de Recherche en Economie Th{\'e}orique et Appliqu{\'e}e - GREThA}, audience = {internationale}, bdsk-url-1 = {http://hal.archives-ouvertes.fr/hal-00755052}, bdsk-url-2 = {http://dx.doi.org/10.1016/j.spa.2013.03.006}, date-added = {2013-11-07 09:08:52 +0000}, date-modified = {2013-11-07 09:08:52 +0000}, hal_id = {hal-00755052}, doi = {10.1016/j.spa.2013.03.006} }