Approximation methods for piecewise deterministic Markov processes and their costs-Reference-Cited by-同舟云学术

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Approximation methods for piecewise deterministic Markov processes and their costs

Published:2019-01-09 Issue:4 Volume:2019 Page:308-335
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Kritzer Peter¹,Leobacher Gunther²,Szölgyenyi Michaela³⁴,Thonhauser Stefan⁵

Affiliation:

1. Johann Radon Institute for Computational and Applied Mathematics (RICAM), Austrian Academy of Sciences, Linz, Austria

2. Institute for Mathematics and Scientific Computing, University of Graz, Graz, Austria

3. Institute for Statistics, University of Klagenfurt, Klagenfurt, Austria

4. Seminar for Applied Mathematics and RiskLab Switzerland, ETH Zurich, Zurich, Switzerland

5. Institute for Statistics, Graz University of Technology, Graz, Austria

Funder

Austrian Science Fund

National Science Foundation

Statistical and Applied Mathematical Sciences Institute

Vienna Science and Technology Fund

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2018.1560357

Reference37 articles.

1. A Dynamic Programming Algorithm for the Optimal Control of Piecewise Deterministic Markov Processes

2. Ruin Probabilities

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