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The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model.
Guoxin Liu
Xiaoying Liu
Zhaoyang Liu
Published in:
J. Comput. Appl. Math. (2022)
Keyphrases
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poisson process
mathematical model
optimal solution
probability distribution
closed form
lead time
machine learning
search space
probabilistic model
prior information
markov modulated