Asymptotic optimization for stochastic models based on a compound Poisson process

DOI10.1007/S10559-011-9345-ZzbMATH Open1329.60130OpenAlexW2095537848MaRDI QIDQ464948FDOQ464948

Authors: A. A. Voina 

Publication date: 30 October 2014

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-011-9345-z

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zbMATH Keywords

continuous-time Markov chainapproximate solutionasymptotic analysisoptimal solutionlimit modelrisk functioncompound Poisson processdecision models

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Continuous-time Markov processes on discrete state spaces (60J27) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Cites Work

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• Risk functions in multidimensional stock control models that function in a random Markov environment
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Cited In (3)

• Statistical estimation in hierarchical hidden Markov model
• Using hidden Markov models in estimating the parameters of hierarchical systems
• Optimization methods for compound Poisson risk processes

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