Numerical Method for Control of Piecewise-deterministic Markov Processes-Reference-Cited by-同舟云学术

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Numerical Method for Control of Piecewise-deterministic Markov Processes

Published:2018-08-06 Issue: Volume: Page:147-172
ISSN:
Container-title:Statistical Inference for Piecewise-deterministic Markov Processes
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Author:

de Saporta Benoîte,Dufour François

Publisher

John Wiley & Sons, Inc.

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/9781119507338.ch5/fullpdf

Reference22 articles.

1. A quantization algorithm for solving multi-dimensional discrete-time optimal stopping problems;Bally;Bernoulli,2003

2. A quantization tree method for pricing and hedging multidimensional American options;Bally;Mathematic Finance,2005

3. Numerical method for expectations of piecewise deterministic Markov processes;Brandejsky;Communications in Applied Mathematics and Computational Science,2012

4. Numerical methods for the exit time of a piecewise-deterministic Markov process;Brandejsky;Advances in Applied Probability,2012

5. Optimal stopping for partially observed piecewise-deterministic Markov processes;Brandejsky;Stochastic Processes and their Applications,2013

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Numerical Method for Control of Piecewise-deterministic Markov Processes;Statistical Inference for Piecewise-deterministic Markov Processes;2018-08-06

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