most citedLinearisation Techniques and the Dual Algorithm for a Class of Mixed Singular/Continuous Control Problems in Reinsurance. Part I: Theoretical Aspects

3 citations · 3 across the 1 of their papers we have counts for

collaborators

1 paper

math.OC2022★ 3 cited

Linearisation Techniques and the Dual Algorithm for a Class of Mixed Singular/Continuous Control Problems in Reinsurance. Part I: Theoretical Aspects

Dan Goreac, Juan Li, Boxiang Xu

This paper focuses on linearisation techniques for a class of mixed singular/continuous control problems and ensuing algorithms. The motivation comes from (re)insurance problems wi…