@article {90,
	title = {Numerical method for optimal stopping of piecewise deterministic Markov processes},
	year = {2010},
	abstract = {We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). Our approach is based on quantization of the post jump location - inter-arrival time Markov chain naturally embedded in the PDMP, and path-adapted time discretization grids. It allows us to derive bounds for the convergence rate of the algorithm and to provide a computable $\epsilon$-optimal stopping time. The paper is illustrated by a numerical example.},
	keywords = {dynamic programming, numerical method, Optimal Stopping, piecewise deterministic Markov processes, quantization},
	author = {Beno{\^\i}te de Saporta and Fran{\c c}ois Dufour and Karen Gonzalez}
}
