Numerical method for impulse control of Piecewise Deterministic Markov Processes

Benoîte de Saporta, François Dufour

Published 2010-11-26, updated 2011-08-30Version 2

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 is based on a quantization technique for the underlying Markov chain defined by the post jump location and inter-arrival time. Convergence results are obtained and more importantly we are able to give a convergence rate of the algorithm. The paper is illustrated by a numerical example.