26 citations · 88 across the 19 of their papers we have counts for
8 papers · 1 filter
Optimal stopping for partially observed piecewise-deterministic Markov processes
Adrien Brandejsky, Benoîte de Saporta, François Dufour
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 fi…
Random coefficients bifurcating autoregressive processes
Benoîte de Saporta, Anne Gégout-Petit, Laurence Marsalle
This paper presents a model of asymmetric bifurcating autoregressive process with random coefficients. We couple this model with a Galton Watson tree to take into account possibly…
Numerical method for expectations of piecewise-determistic Markov processes
Adrien Brandejsky, Benoîte de Saporta, François Dufour
We present a numerical method to compute expectations of functionals of a piecewise-deterministic Markov process. We discuss time dependent functionals as well as deterministic tim…
Optimal stopping for the predictive maintenance of a structure subject to corrosion
Benoîte de Saporta, François Dufour, Huilong Zhang +1
We present a numerical method to compute the optimal maintenance time for a complex dynamic system applied to an example of maintenance of a metallic structure subject to corrosion…
Numerical methods for the exit time of a piecewise-deterministic Markov process
Adrien Brandejsky, Benoîte de Saporta, François Dufour
We present a numerical method to compute the survival function and the moments of the exit time for a piecewise-deterministic Markov process (PDMP). Our approach is based on the qu…
Parameters estimation for asymmetric bifurcating autoregressive processes with missing data
Benoîte de Saporta, Anne Gégout-Petit, Laurence Marsalle
We estimate the unknown parameters of an asymmetric bifurcating autoregressive process (BAR) when some of the data are missing. In this aim, we model the observed data by a two-typ…
Numerical method for impulse control of Piecewise Deterministic Markov Processes
Benoîte de Saporta, François Dufour
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 i…
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…