Asymptotic optimization for stochastic models based on a compound Poisson process

DOI10.1007/S10559-011-9345-ZzbMath1329.60130OpenAlexW2095537848MaRDI QIDQ464948

A. A. Voina

Publication date: 30 October 2014

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-011-9345-z

zbMATH Keywords

asymptotic analysisapproximate solutionoptimal solutioncompound Poisson processcontinuous-time Markov chainlimit modelrisk functiondecision models

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Continuous-time Markov processes on discrete state spaces (60J27) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

Statistical estimation in hierarchical hidden Markov model ⋮ Using hidden Markov models in estimating the parameters of hierarchical systems

Cites Work

• Risk functions in multidimensional stock control models that function in a random Markov environment
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Asymptotic optimization for stochastic models based on a compound Poisson process