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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 -
Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
Elsevier | 2012|Keywords: Markov chain approximation -
Bounds of ruin probability for regime-switching models using time scale separation
Taylor & Francis Verlag | 2006|Keywords: Markov chain -
Exponential bounds for discrete-time singularly perturbed Markov chains
Elsevier | 2003|Keywords: Markov chain -
Moderate deviations for time-varying dynamic systems driven by non-homogeneous Markov chains with Two-time Scales
Taylor & Francis Verlag | 2014|Keywords: Markov chain -
Numerical Methods for Optimal Dividend Payment and Investment Strategies of Markov-Modulated Jump Diffusion Models with Regular and Singular Controls
Online Contents | 2013|Keywords: Markov chain approximation -
Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time
Online Contents | 2009|Keywords: Markov chain -
Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time
Online Contents | 2009|Keywords: Markov chain -
A hybrid deep learning method for optimal insurance strategies: Algorithms and convergence analysis
Elsevier | 2020|Keywords: Markov chain approximation -
A numerical approach to optimal dividend policies with capital injections and transaction costs
Online Contents | 2017|Keywords: Markov chain approximation -
Asymptotic properties of Markov-modulated random sequences with fast and slow timescales
Taylor & Francis Verlag | 2010|Keywords: Markov chain -
Asymptotic Properties of Parabolic Systems for Null-Recurrent Switching Diffusions
Online Contents | 2007|Keywords: Markov chain -
A numerical approach to optimal dividend policies with capital injections and transaction costs
Online Contents | 2017|Keywords: Markov chain approximation -
Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
Elsevier | 2006|Keywords: Markov chain approximation -
A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
Taylor & Francis Verlag | 2011|Keywords: Markov chain approximation -
Numerical Methods for Optimal Dividend Payment and Investment Strategies of Markov-Modulated Jump Diffusion Models with Regular and Singular Controls
Online Contents | 2013|Keywords: Markov chain approximation -
Weak convergence of Markov-modulated random sequences
Taylor & Francis Verlag | 2010|Keywords: Markov chain -
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 -
Asymptotic Expansions of Transition Densities for Hybrid Jump-diffusions
Online Contents | 2004|Keywords: Markov chain
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