Approximation methods for piecewise deterministic Markov processes and their costs
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Publication:5743540
DOI10.1080/03461238.2018.1560357zbMath1411.91294arXiv1712.09201OpenAlexW2780299545WikidataQ64232668 ScholiaQ64232668MaRDI QIDQ5743540
Gunther Leobacher, Stefan Thonhauser, Michaela Szölgyenyi, Peter Kritzer
Publication date: 10 May 2019
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.09201
quasi-Monte Carlo methodsrisk theorypiecewise deterministic Markov processdividend maximisationphase-type approximations
Numerical methods (including Monte Carlo methods) (91G60) Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05)
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