REGIME-SWITCHING

作品数：40被引量：35H指数：4
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相关作者：刘迪耿国强刘宣会牛华伟高月更多>>
相关机构：浙江财经大学华东师范大学西安工程大学北京大学更多>>
相关期刊：《Statistical Theory and Related Fields》《Journal of Computational Mathematics》《China & World Economy》《Frontiers of Mathematics in China》更多>>
相关基金：国家自然科学基金中国博士后科学基金国家教育部博士点基金河北省自然科学基金更多>>
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Optimal Reinsurance and Investment Strategies for Insurers with Regime-Switching and State-Dependent Utility Function被引量：3
《Journal of Systems Science & Complexity》2016年第6期1658-1682,共25页GU Ailing LI Zhongfei 
supported by the National Natural Science Foundation of China under Grant Nos.71501050 and 71231008;the National Science Foundation of Guangdong Province of China under Grant No.2014A030310195;Guangdong Natural Science for Research Team under Grant No.2014A030312003;Chinese Scholarship Council under Grant No.201508440324
This paper considers a proportional reinsurance-investment problem and an excess-of-loss reinsurance-investment problem for an insurer,where price processes of the risky assets and wealth process of the insurer are bo...
关键词：Excess-of-loss reinsurance optimal investment strategy proportional reinsurance REGIME-SWITCHING state-dependent utility function. 
INVARIANT DENSITY, LYAPUNOV EXPONENT, AND ALMOST SURE STABILITY OF MARKOVIAN-REGIME-SWITCHING LINEAR SYSTEMS
《Journal of Systems Science & Complexity》2011年第1期79-92,共14页Qi HE Gang George YIN 
This research was supported in part by the National Science Foundation under Grant No. DMS-0907753, in part by the Air Force Office of Scientific Research under Grant No. FA9550-10-1-0210, and in part by the National Natural Science Foundation of China under Grant No. 70871055.
This paper is concerned with stability of a class of randomly switched systems of ordinary differential equations. The system under consideration can be viewed as a two-component process （X（t）, α（t））, where the...
关键词：Invariant density Lyapunov exponent randomly switching ordinary differential equation. 
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