26 citations · 58 across the 13 of their papers we have counts for
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math.PR2009★ 26 cited
Numerical method for optimal stopping of piecewise deterministic Markov processes
Benoîte de Saporta, François Dufour, Karen Gonzalez
We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). Our approach is based on quanti…
math.PR2009
The Policy Iteration Algorithm for Average Continuous Control of Piecewise Deterministic Markov Processes
O. L. V. Costa, F. Dufour
The main goal of this paper is to apply the so-called policy iteration algorithm (PIA) for the long run average continuous control problem of piecewise deterministic Markov process…