Optimal control of the risk process in a regime-switching environment (Q642895)
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scientific article
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| English | Optimal control of the risk process in a regime-switching environment |
scientific article |
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Optimal control of the risk process in a regime-switching environment (English)
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27 October 2011
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regime-switching diffusion
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continuity of the value function
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exit time control
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viscosity solution
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0.8200845122337341
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0.798803448677063
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0.7942661046981812
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0.7839592695236206
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0.7826738357543945
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