Optimal risk control under marked point processes shocks : a dynamic programming duality approach
Year of publication: |
2013
|
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Authors: | Mnif, Mohamed |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 7, p. 1-45
|
Subject: | Optimal insurance | stochastic control | duality | optional decomposition | dynamic programming principle | viscosity solution | Dynamische Optimierung | Dynamic programming | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Kontrolltheorie | Control theory | Duales Optimierungsproblem | Dual optimization problem |
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