Singular Perturbation for the Discounted Continuous Control of Piecewise Deterministic Markov Processes

The Policy Iteration Algorithm for Avera

The Policy Iteration Algorithm for Average Continuous Control of Piecewise Deterministic Markov Processes

✍ O. L. V. Costa; F. Dufour 📂 Article 📅 2010 🏛 Springer 🌐 English ⚖ 524 KB

092022 (M12) Optimal control of piecewis

092022 (M12) Optimal control of piecewise deterministic processes : Schäl M., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 177 KB

In this article, the authors discuss mixed exponential distributions and, more generally, scale mixtures with specific consideration the purpose of insurance modeling. Results are derived for equilibrium distributions (defined via stop-loss transforms) of mixed distributions. Some recursive relation