Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects

DOI10.1016/J.AMC.2022.127321OpenAlexW4282982907WikidataQ113880709 ScholiaQ113880709MaRDI QIDQ2152720

Yanyan Li

Publication date: 11 July 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.10224

zbMATH Keywords

linear programmingoccupation measuredual dynamic programmingdual algorithmsingular/continuous control

Mathematics Subject Classification ID

Numerical methods involving duality (49M29) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Optimal stochastic control (93E20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods of relaxation type (49M20) Corporate finance (dividends, real options, etc.) (91G50) Numerical methods for variational inequalities and related problems (65K15) Computational methods for problems pertaining to systems and control theory (93-08)

Related Items (2)

Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects ⋮ Optimality conditions for \(\mathbb{L}^p\) problems with reflected dynamics

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