Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
DOI10.1016/j.amc.2022.127321OpenAlexW4282982907WikidataQ113880709 ScholiaQ113880709MaRDI QIDQ2152720
Publication date: 11 July 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.10224
linear programmingoccupation measuredual dynamic programmingdual algorithmsingular/continuous control
Numerical methods involving duality (49M29) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Optimal stochastic control (93E20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods of relaxation type (49M20) Corporate finance (dividends, real options, etc.) (91G50) Numerical methods for variational inequalities and related problems (65K15) Computational methods for problems pertaining to systems and control theory (93-08)
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