OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH (Q5746924)
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scientific article; zbMATH DE number 6256762
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH |
scientific article; zbMATH DE number 6256762 |
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OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH (English)
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11 February 2014
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optimal insurance
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stochastic control
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duality
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optional decomposition
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dynamic programming principle
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viscosity solution
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