Geodesic
A diffusion approximation in the ruin problem for a controlled Markov chain
Kybernetika, Tome 10 (1974) no. 2, pp. 125-132 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

Classification : 60J10, 60J70, 60J99, 90C40, 93E20 
@article{KYB_1974_10_2_a3,
     author = {van Kieu, Pham},
     title = {A diffusion approximation in the ruin problem for a controlled {Markov} chain},
     journal = {Kybernetika},
     pages = {125--132},
     year = {1974},
     volume = {10},
     number = {2},
     mrnumber = {0359034},
     zbl = {0281.60071},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_1974_10_2_a3/}
}
TY  - JOUR
AU  - van Kieu, Pham
TI  - A diffusion approximation in the ruin problem for a controlled Markov chain
JO  - Kybernetika
PY  - 1974
SP  - 125
EP  - 132
VL  - 10
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/KYB_1974_10_2_a3/
LA  - en
ID  - KYB_1974_10_2_a3
ER  - 
%0 Journal Article
%A van Kieu, Pham
%T A diffusion approximation in the ruin problem for a controlled Markov chain
%J Kybernetika
%D 1974
%P 125-132
%V 10
%N 2
%U http://geodesic.mathdoc.fr/item/KYB_1974_10_2_a3/
%G en
%F KYB_1974_10_2_a3
van Kieu, Pham. A diffusion approximation in the ruin problem for a controlled Markov chain. Kybernetika, Tome 10 (1974) no. 2, pp. 125-132. http://geodesic.mathdoc.fr/item/KYB_1974_10_2_a3/

[1] R. Bellman: A Markovian decision process. J. of Math. and Mech. 6 (1957), 679-684. | MR | Zbl

[2] P. Billingsley: Convergence of probability measures. New York 1968. | MR | Zbl

[3] J. Z. Doob: Stochastic processes. New York-London 1953. | Zbl

[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

[5] P. Mandl: Analytical treatment of one-dimensional Markov processes. Prague-Heidelberg 1968. | MR | Zbl

[6] P. Mandl: A connection between controlled Markov chain and martingales. Kybernetika 9 (1973), 237-241. | MR

[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. | MR | Zbl