contribution à l'étude des processus Markoviens déterministes par morceaux. Etude d'un cas-test de la sûreté de fonctionnement et Problème d'arrêt optimal à horizon aléatoire
type: Dataset
description: Piecewise Deterministic Markov Processes (PDMP's) have been introduced in the literature by M.H.A. Davis as a general class of stochastics models. PDMP's are a family of Markov processes involving deterministic motion punctuated by random jumps. In a rst part, PDMP's are used to compute probabilities of top events for a case-study of dynamic reliability (the heated tank system) with two di erent methods : the rst one is based on the resolution of the di erential system giving the physical evolution of the tank and the second uses the computation of the functional of a PDMP by a system of integro-di erential equations. In the second part, we propose a numerical method to approximate the value function for the optimal stopping problem of a PDMP. Our approach is based on quantization of the postjump location and inter-arrival time of the 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.
issued: 2026-05-07T05:01:14.625442
language: fr
modified: 2026-05-07T05:01:14.625448
contact point: Organization
  fn: CCSD
keyword: abilite-dynamique
keyword: fonctionnelle-dun-pdmp
keyword: infoeu-reposemanticsdoctoralthesis
keyword: mathmath-prmathematics-mathprobability-mathpr
keyword: methodes-numeriques
keyword: probleme-darret-optimal
keyword: processus-markoviens-deterministes-par-morceaux
keyword: quantication
keyword: temps-darret-optimal
keyword: theses
keyword: vitesse-de-convergence
landing page: https://theses.hal.science/tel-00938591

contribution à l'étude des processus Markoviens déterministes par morceaux. Etude d'un cas-test de la sûreté de fonctionnement et Problème d'arrêt optimal à horizon aléatoire
type: Distribution
format: HTML
issued: 2026-05-07T05:01:14.629565
modified: 2026-05-07T05:01:14.614421
access URL: https://theses.hal.science/tel-00938591

test_moissonnage_selune
type: Agent