Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects (Q2152720)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects |
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Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects (English)
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11 July 2022
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singular/continuous control
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linear programming
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occupation measure
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dual dynamic programming
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dual algorithm
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