We present a numerical method to compute expectations of functionals of a
piecewise-deterministic Markov process. We discuss time dependent functionals
as well as deterministic time horizon problems. Our approach is based on the
quantization of an underlying discrete-time Markov chain. We obtain bounds for
the rate of convergence of the algorithm. The approximation we propose is
easily computable and is flexible with respect to some of the parameters
defining the problem. Two examples illustrate the paper.Comment: 41 page
