Computing the expected value of a concave, piecewise affine bivariate function for the gamma distribution

DOI10.1093/IMAMAN/DPR010zbMATH Open1251.62026OpenAlexW2329056248MaRDI QIDQ2912025

Bernard F. Lamond, Pascal Lang

Publication date: 13 September 2012

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpr010

zbMATH Keywords

dynamic programmingbivariate stochastic modelconcave piecewise linear function

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Dynamic programming (90C39)

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