Search Results - subject:"recursion"

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Sample-path large deviations for unbounded additive functionals of the reflected random walk

Bazhba, Mihail; Blanchet, Jose; Rhee, Chang-Han; Zwart, Bert - In: Mathematics of operations research 50 (2025) 1, pp. 711-742

Persistent link: https://www.econbiz.de/10015211764

Sequential decomposition of discrete-time mean-field games

Vasal, Deepanshu - In: Dynamic games and applications : DGA 14 (2024) 3, pp. 697-715

Persistent link: https://www.econbiz.de/10014556774

A geometric convergence formula for the level-increment-truncation approximation of M/G/1-type Markov chains

Ouchi, Katsuhisa; Masuyama, Hiroyuki - In: Operations research letters 51 (2023) 3, pp. 364-369

Persistent link: https://www.econbiz.de/10014374995

Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps

Zhang, Weinan; Zeng, Pingping; Kwok, Yue-Kuen - In: Operations research letters 51 (2023) 6, pp. 687-694

Persistent link: https://www.econbiz.de/10014465892

Multivariate collective risk model: Dependent claim numbers and Panjer's recursion

Rudolph, Cordelia; Schmock, Uwe - In: Risks 8 (2020) 2, pp. 1-31

In this paper, we discuss a generalization of the collective risk model and of Panjer's recursion. The model we …'s recursion is also applicable by finding an appropriate equivalent representation of the claim numbers. These dependence … distributions also keeps Panjer's recursion applicable. …

Persistent link: https://www.econbiz.de/10013200577