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Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods
Elsevier | 2013|Keywords: Markov chain approximation -
Exponential bounds for discrete-time singularly perturbed Markov chains
Elsevier | 2003|Keywords: Markov chain -
Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
Elsevier | 2012|Keywords: Markov chain approximation -
A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis
Elsevier | 2020|Keywords: Markov chain approximation -
Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
Elsevier | 2006|Keywords: Markov chain approximation -
Asymptotic properties of hybrid random processes modulated by Markov chains
Elsevier | 2009|Keywords: Markov chain -
Approximations of Euler–Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
Elsevier | 2005|Keywords: Markov chain -
Stability of hybrid stochastic delay systems whose discrete components have a large state space: A two-time-scale approach
Elsevier | 2009|Keywords: Large-scale Markov chain -
Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
Elsevier | 2010|Keywords: Markov chain approximation -
Moment exponential stability of random delay systems with two-time-scale Markovian switching
Elsevier | 2012|Keywords: Two-time-scale Markov chain -
Numerical methods for portfolio selection with bounded constraints
Elsevier | 2008|Keywords: Markov chain approximation -
Stability of Markov modulated discrete-time dynamic systems
Elsevier | 2003|Keywords: Markov chain -
Numerical method for stationary distribution of stochastic differential equations with Markovian switching
Elsevier | 2004|Keywords: Markov chain
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