Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects (Q6585497)
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scientific article; zbMATH DE number 7894894
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects |
scientific article; zbMATH DE number 7894894 |
Statements
Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects (English)
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12 August 2024
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singular/continuous control
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linear programming
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dual algorithm
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reinsurance
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capital injection
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dividends
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occupation measure
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dual dynamic programming
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