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Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest.
Jinxia Zhu
Published in:
J. Comput. Appl. Math. (2014)
Keyphrases
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computational model
formal model
control system
cost function
hidden markov models
theoretical framework
mathematical model
closed form
high level
dynamic programming
probabilistic model
em algorithm
stochastic control