| Title:
|
A diffusion approximation in the ruin problem for a controlled Markov chain (English) |
| Author:
|
van Kieu, Pham |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
10 |
| Issue:
|
2 |
| Year:
|
1974 |
| Pages:
|
(125)-132 |
| . |
| Category:
|
math |
| . |
| MSC:
|
60J10 |
| MSC:
|
60J70 |
| MSC:
|
60J99 |
| MSC:
|
90C40 |
| MSC:
|
93E20 |
| idZBL:
|
Zbl 0281.60071 |
| idMR:
|
MR0359034 |
| . |
| Date available:
|
2009-09-24T16:38:26Z |
| Last updated:
|
2012-06-04 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/124864 |
| . |
| Reference:
|
[1] R. Bellman: A Markovian decision process.J. of Math. and Mech. 6 (1957), 679-684. Zbl 0078.34101, MR 0091859 |
| Reference:
|
[2] P. Billingsley: Convergence of probability measures.New York 1968. Zbl 0172.21201, MR 0233396 |
| Reference:
|
[3] J. Z. Doob: Stochastic processes.New York-London 1953. Zbl 0053.26802 |
| Reference:
|
[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. MR 0232589 |
| Reference:
|
[5] P. Mandl: Analytical treatment of one-dimensional Markov processes.Prague-Heidelberg 1968. Zbl 0179.47802, MR 0247667 |
| Reference:
|
[6] P. Mandl: A connection between controlled Markov chain and martingales.Kybernetika 9 (1973), 237-241. MR 0323427 |
| Reference:
|
[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. Zbl 0234.49020, MR 0292573 |
| . |
