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Numerical Methods for Optimal Dividend Payment and Investment Strategies of Markov-Modulated Jump Diffusion Models with Regular and Singular Controls.
Zhuo Jin
Gang George Yin
Published in:
J. Optim. Theory Appl. (2013)
Keyphrases
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numerical methods
markov modulated
investment strategies
diffusion models
poisson process
differential equations
dynamic programming
stock price
partial differential equations
information diffusion
worst case
optimal solution
stock market
diffusion model
feature selection
markov chain
stock exchange
multiresolution