18 citations · 18 across the 3 of their papers we have counts for
3 papers
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…
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…
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…