Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory

IF 1 4区 数学 Q1 MATHEMATICS Mathematical Control and Related Fields Pub Date : 2023-01-01 DOI:10.3934/mcrf.2023023
Calisto Guambe, Rodwell Kufakunesu, Lesedi Mabitsela
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来源期刊
Mathematical Control and Related Fields
Mathematical Control and Related Fields MATHEMATICS, APPLIED-MATHEMATICS
CiteScore
2.50
自引率
8.30%
发文量
67
期刊介绍: MCRF aims to publish original research as well as expository papers on mathematical control theory and related fields. The goal is to provide a complete and reliable source of mathematical methods and results in this field. The journal will also accept papers from some related fields such as differential equations, functional analysis, probability theory and stochastic analysis, inverse problems, optimization, numerical computation, mathematical finance, information theory, game theory, system theory, etc., provided that they have some intrinsic connections with control theory.
期刊最新文献
Boundary controllability for a 1D degenerate parabolic equation with drift and a singular potential Existence of the optimal controls for a controlled elliptic system with an $ L^0 $ term in the cost functional Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory Convergence to equilibrium for solutions of some forced discretized second-order gradient-like systems Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching
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