Approximation methods for piecewise deterministic Markov processes and their costs [0.03%]
分段确定性马尔可夫过程及其成本的近似方法
Peter Kritzer,Gunther Leobacher,Michaela Szölgyenyi et al.
Peter Kritzer et al.
In this paper, we analyse piecewise deterministic Markov processes (PDMPs), as introduced in Davis (1984). Many models in insurance mathematics can be formulated in terms of the general concept of PDMPs. There one is interested in computing...