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Optimization, Control, and Applications of Stochastic Systems

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Cover of 'Optimization, Control, and Applications of Stochastic Systems'

Table of Contents

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    Book Overview
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    Chapter 1 On the Policy Iteration Algorithm for Nondegenerate Controlled Diffusions Under the Ergodic Criterion
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    Chapter 2 Discrete-Time Inventory Problems with Lead-Time and Order-Time Constraint
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    Chapter 3 Sample-Path Optimality in Average Markov Decision Chains Under a Double Lyapunov Function Condition
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    Chapter 4 Approximation of Infinite Horizon Discounted Cost Markov Decision Processes
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    Chapter 5 Reduction of Discounted Continuous-Time MDPs with Unbounded Jump and Reward Rates to Discrete-Time Total-Reward MDPs
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    Chapter 6 Continuous-Time Controlled Jump Markov Processes on the Finite Horizon
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    Chapter 7 Existence and Uniqueness of Solutions of SPDEs in Infinite Dimensions
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    Chapter 8 A Constrained Optimization Problem with Applications to Constrained MDPs
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    Chapter 9 Optimal Execution of Derivatives: A Taylor Expansion Approach
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    Chapter 10 A Survey of Some Model-Based Methods for Global Optimization
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    Chapter 11 Constrained Optimality for First Passage Criteria in Semi-Markov Decision Processes
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    Chapter 12 Infinite-Horizon Optimal Control Problems for Hybrid Switching Diffusions
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    Chapter 13 Optimization, Control, and Applications of Stochastic Systems
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    Chapter 14 Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
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    Chapter 15 Estimation of the Optimality Deviation in Discounted Semi-Markov Control Models
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    Chapter 16 Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems
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    Chapter 17 A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
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    Chapter 18 On the Regularity Property of Semi-Markov Processes with Borel State Spaces
Attention for Chapter 14: Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
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Chapter title
Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
Chapter number 14
Book title
Optimization, Control, and Applications of Stochastic Systems
Published by
Birkhäuser, Boston, January 2012
DOI 10.1007/978-0-8176-8337-5_14
Book ISBNs
978-0-8176-8336-8, 978-0-8176-8337-5
Authors

Rosario Romera, Wolfgang Runggaldier

Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 1 Mendeley reader of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 1 100%

Demographic breakdown

Readers by professional status Count As %
Professor 1 100%
Student > Ph. D. Student 1 100%
Readers by discipline Count As %
Mathematics 1 100%