OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH (Q5746924)
From MaRDI portal
scientific article; zbMATH DE number 6256762
Language | Label | Description | Also known as |
---|---|---|---|
English | OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH |
scientific article; zbMATH DE number 6256762 |
Statements
OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH (English)
0 references
11 February 2014
0 references
optimal insurance
0 references
stochastic control
0 references
duality
0 references
optional decomposition
0 references
dynamic programming principle
0 references
viscosity solution
0 references