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Markov process functionals in finance and insurance

✍ Scribed by Xian-min Geng; Liang Li


Publisher
SP Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
Year
2009
Tongue
English
Weight
133 KB
Volume
24
Category
Article
ISSN
1005-1031

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On piecewise deterministic Markov contro
✍ Manfred SchΓ€l πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 887 KB

Dynamic programming for piecewise deterministic Markov processes is studied where only the jumps but not the deterministic flow can be controlled. Then one can dispense with relaxed controls, There exists an optimal stationary policy of feedback form. Further, a piecewise deterministic Markov model