Approximation of optimal ergodic dividend strategies using controlled Markov chains
نویسندگان
چکیده
منابع مشابه
Ergodic Theory for Controlled Markov Chains with Stationary Inputs
Consider a stochastic process Γ on the finite alphabet consisting of the d standard basiselements in R. It is conditionally Markov, given a real-valued ‘input process’ ζ. This is assumedto be small, which is modeled through the scaling,ζt = εζ 1t , 0 ≤ ε ≤ 1 ,where ζ is a bounded stationary process. The following conclusions are obtained, subject tosmoothness assumpt...
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ژورنال
عنوان ژورنال: IET Control Theory & Applications
سال: 2018
ISSN: 1751-8644,1751-8652
DOI: 10.1049/iet-cta.2018.5394