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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scientific article; zbMATH DE number 7555052
| 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 |
scientific article; zbMATH DE number 7555052 |
Statements
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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0.8578632
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0.8534761
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0.85329634
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0.8513588
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0.84857684
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0.84826195
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0.8477278
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