𝔖 Bobbio Scriptorium
✦   LIBER   ✦

New Approach to Stochastic Optimal Control

✍ Scribed by R. Josa-Fombellida; J. P. Rincón-Zapatero

Publisher
Springer
Year
2007
Tongue
English
Weight
363 KB
Volume
135
Category
Article
ISSN
0022-3239

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Stochastic control for optimal new busin
Stochastic control for optimal new business
✍ Christian Hipp; Michael Taksar 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 902 KB

Given an insurance portfolio, investment in new business is used to minimize the probability of technical ruin for the total position. This is a simple stochastic control problem for which solutions can be characterized and computed when the risk processes for old and new business are modelled by co

Optimal stochastic control
Optimal stochastic control
✍ W.M. Wonham 📂 Article 📅 1969 🏛 Elsevier Science 🌐 English ⚖ 576 KB

Some informal remarks are offered on the present status and future direction of stochastic control. Summary--It is indicated that optimal stochastic control is still in its infancy, and that at the present time it has little use in practice although a wide class of problems can be precisely stated.