A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process (Q2276269)
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scientific article; zbMATH DE number 5934676
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| English | A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process |
scientific article; zbMATH DE number 5934676 |
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A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process (English)
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1 August 2011
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expected penalty-reward function
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Markov-modulated process
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jump-diffusion process
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Volterra integro-differential system of equations
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0.8181576132774353
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0.8126449584960938
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0.7949842214584351
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0.7932702898979187
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0.7886165380477905
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