Numerical method for optimal stopping of piecewise deterministic Markov Processes

François Dufour

Université de Bordeaux, France

In this talk, the optimal stopping problem of piecewise-deterministic Markov processes is studied. Such processes consist of a mixture of deterministic motion and random jumps. An approximation of the value function and a construction of ε-optimal stopping times will be presented. Convergence of the approximation schemes will be shown and convergence rates will be derived.