位置：成果数据库 > 期刊 > 期刊详情页
A STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATIO
  • ISSN号：0363-0129
  • 期刊名称：SIAM Journal on Control and Optimization
  • 时间：2012
  • 页码：964-990
  • 相关项目：保险风险理论中的随机最优控制问题
作者： Zhang, Xin|Elliott, Robert J.|Siu, Tak Kuen|
同期刊论文项目
保险风险理论中的随机最优控制问题
期刊论文 44
同项目期刊论文
Upper Bounds for Ruin Probabilities under Stochastic Interest Rate and Optimal Investment Strategies
Optimal investment with multiple risky assets under short-selling prohibition in a periodic environm
Optimal dividend and equity issuance problem with proportional and fixed transaction costs
Virial Theorem for a Class of Quantum Nonlinear Harmonic Oscillators
Optimal dividend and dynamic reinsurance strategies with capital injections and proportional costs
Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk mo
Optimal dividend problem with a nonlinear regular-singular stochastic control
A Duality Result for the Generalized Erlang Risk Model
Optimal Control with Restrictions for a Diffusion Risk Model Under Constant Interest Force
Survival probabilities in a discrete semi-Markov risk model
Archimedean copulas in finite and infinite dimensions—with application to ruin problems
Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setti
On the compound Poisson risk model with dependence and a threshold dividend strategy
Optimaldividend policy: regular-impulse stochastic control.
Optimal investment with a value -at-risk constraint
Optimal Mean-Variance Problem with Constrained Controls in a Jump- Diffusion Financial Market for an
A duality for the generalized Erlang risk model 
指数保费准则下的最优投资和比例再保险
Expected discounted dividends in a discrete semi-Markov risk model
均值回归模型下最优人寿保险的购买和投资消费问题
Stochastic differential equations driven by fractional Brownian motion and Poisson point process
The hitting time for a Cox risk process
Optimal Investment, Consumption and Life Insurance in an Incomplete Market.
Construction of Positive-Operator Valued Measures via Wavefunctions of Physical Systems
Optimal Time-Consistent Portfolio and Contribution Selection for Defined Benefit Pension Schemes und
Optimization of risk policy and dividends with fixed transaction costs under interest rate
关于离散时间鞅理论的2个具体应用
相依对偶模型的G-S函数
带有借款利息和税收的常利率风险模型（英文）
Erlang（n）风险模型下破产时和破产前索赔次数的联合密度（英文）
广义Erlang（2）风险模型下破产时和破产前索赔次数的联合密度（英文）
常分红壁下相依对偶模型的G-S函数
Ornstein-Uhlenback type Omega model
Gerber-Shiu function of a discrete risk model with and without a constant dividend barrier