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arXiv · 1602.04609

Partially observed optimal stopping problem for discrete-time Markov processes

Benoîte de Saporta·François Dufour·Christophe Nivot
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Abstract

This paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization procedure based on optimal quantization. First,we discretize the state space of the unobserved variable by quantizing an underlying reference measure. Then we jointly discretize the resulting approximate filter and the observation process. We obtain a fully computable approximation of the value function with explicit error bounds for its convergence towards the true value fonction.

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Benoîte de Saporta, François Dufour, Christophe Nivot. 2016-02-15. Partially observed optimal stopping problem for discrete-time Markov processes. https://arxiv.org/abs/1602.04609

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