A diffusion approximation in the ruin problem for a controlled Markov chain

Pham Kieu

Kybernetika (1974)

  • Volume: 10, Issue: 2, page (125)-132
  • ISSN: 0023-5954

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Kieu, Pham. "A diffusion approximation in the ruin problem for a controlled Markov chain." Kybernetika 10.2 (1974): (125)-132. <http://eudml.org/doc/28019>.

@article{Kieu1974,
author = {Kieu, Pham},
journal = {Kybernetika},
language = {eng},
number = {2},
pages = {(125)-132},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A diffusion approximation in the ruin problem for a controlled Markov chain},
url = {http://eudml.org/doc/28019},
volume = {10},
year = {1974},
}

TY - JOUR
AU - Kieu, Pham
TI - A diffusion approximation in the ruin problem for a controlled Markov chain
JO - Kybernetika
PY - 1974
PB - Institute of Information Theory and Automation AS CR
VL - 10
IS - 2
SP - (125)
EP - 132
LA - eng
UR - http://eudml.org/doc/28019
ER -

References

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  1. R. Bellman, A Markovian decision process, J. of Math. and Mech. 6 (1957), 679-684. (1957) Zbl0078.34101MR0091859
  2. P. Billingsley, Convergence of probability measures, New York 1968. (1968) Zbl0172.21201MR0233396
  3. J. Z. Doob, Stochastic processes, New York-London 1953. (1953) Zbl0053.26802
  4. Z. Koutský, Probability of a service-system's ruin in the case of finite initial capital, In: Trans. of Fourth Prague Conf. on Information Th. etc. Prague 1967, 425-434. (1967) MR0232589
  5. P. Mandl, Analytical treatment of one-dimensional Markov processes, Prague-Heidelberg 1968. (1968) Zbl0179.47802MR0247667
  6. P. Mandl, A connection between controlled Markov chain and martingales, Kybernetika 9 (1973), 237-241. (1973) MR0323427
  7. R. Morton, On the optimal control of stationary diffusion processes with natural boundaries and discounted cost, J. of Appl. Prob. 8 (1971), 561-572. (1971) Zbl0234.49020MR0292573

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