{
  "id": "1011.5812",
  "version": "v2",
  "published": "2010-11-26T14:59:51.000Z",
  "updated": "2011-08-30T12:48:43.000Z",
  "title": "Numerical method for impulse control of Piecewise Deterministic Markov Processes",
  "authors": [
    "Benoîte de Saporta",
    "François Dufour"
  ],
  "comment": "This work was supported by ARPEGE program of the French National Agency of Research (ANR), project \"FAUTOCOES\", number ANR-09-SEGI-004",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2011-08-30T12:48:43.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "93E25",
      "60J25",
      "93E20",
      "93C57"
    ],
    "keywords": [
      "piecewise deterministic markov processes",
      "numerical method",
      "general discounted impulse control problem",
      "post jump location",
      "markov chain"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1011.5812D"
    }
  }
}