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ArticleMarkov control processes with randomized discounted cost

Raquiel Rufino López-Martínez2006

Article2006

Markov control processes with randomized discounted cost

Raquiel Rufino López-Martínez · J. Rubén Pérez-Hernández

22 citations·0/0 files stored·Mathematical Methods of Operations Research

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Stochastic processes and financial applications Probability and Risk Models Adaptive Dynamic Programming Control

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References

1989Recursive Methods in Economic Dynamics 2003Discounting the distant future: how much do uncertain rates increase valuations?2000Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence 1999Rules of Thumb versus Dynamic Programming 2004Ruin probabilities with a Markov chain interest model 2004Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary 2003Modelling the U.S. interest rate in terms of I(d) statistical models 2003The effects of different inflation risk premiums on interest rate spreads

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Year2006

Typearticle

Published2006-11-06

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00186-006-0092-2

openalex_workW2039412751

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