Dynamic programming for a Markov-switching jump-diffusion.
Nuno AzevedoDiogo PinheiroGerhard-Wilhelm WeberPublished in: J. Comput. Appl. Math. (2014)
Keyphrases
- dynamic programming
- markov chain
- state space
- markov model
- optimal control
- linear programming
- coarse to fine
- semi markov
- dynamic programming algorithms
- markov decision processes
- greedy algorithm
- single machine
- markov processes
- multiscale
- optimal policy
- neural network
- conditional independence
- dependence structure
- piecewise linear
- video sequences
- multi agent
- database systems
- machine learning