Asymptotic optimization for stochastic models based on a compound Poisson process

DOI10.1007/S10559-011-9345-ZMaRDI QIDQ464948zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Optimization methods for compound Poisson risk processes
• Dynamic risk control in multidimensional Markov models
• Asymptotically optimal dividend policy for regime-switching compound Poisson models
• Risk probability optimization problem for finite horizon continuous time Markov decision processes with loss rate.
• Dynamic optimization. Deterministic and stochastic models

Cites work

• scientific article; zbMATH DE number 4072192 (Why is no real title available?)
• scientific article; zbMATH DE number 44052 (Why is no real title available?)
• scientific article; zbMATH DE number 3574705 (Why is no real title available?)
• scientific article; zbMATH DE number 3638846 (Why is no real title available?)
• Risk functions in multidimensional stock control models that function in a random Markov environment

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

This page was built for publication: Asymptotic optimization for stochastic models based on a compound Poisson process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q464948)