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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars:Multitype branching processes in random environments
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2023/4/18
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Asset management risk-sensitive stochastic control jump diffusion processes Poissonpoint processes Levy processes HJBPDE policy mprovement
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2010/4/27
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, N...
Exit times in non-Markovian drifting continuous-time random walk processes
continuous-time random walks non-Markovian processes exit times
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2010/4/27
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it d...