Linearisation Techniques and the Dual Algorithm for a Class of Mixed Singular/Continuous Control Problems in Reinsurance. Part I: Theoretical Aspects
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DOI: 10.1016/j.amc.2022.127321
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- Goreac, Dan & Li, Juan & Wang, Pangbo & Xu, Boxiang, 2024. "Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. Part II: Numerical aspects," Applied Mathematics and Computation, Elsevier, vol. 473(C).
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Keywords
Singular/continuous control; linear programming; occupation measure; dual dynamic programming; dual algorithm;All these keywords.
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