Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections (Q2628665): Difference between revisions

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English	Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections	scientific article

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title

Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections (English)

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2 June 2017

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full work available at URL

http://hdl.handle.net/10722/198097

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zbMATH Keywords

stochastic control

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singular control

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investment strategy

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dividend policy

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capital injection

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free boundary

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Markov chain approximation

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MaRDI profile type

MaRDI publication profile

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cites work

Controlled diffusion models for optimal dividend pay-out

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Optimal investment policy and dividend payment strategy in an insurance company

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Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem

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Some Optimal Dividends Problems

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Controlled Markov processes and viscosity solutions

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Optimal Dividends

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation

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Optimal dividend strategies in a Cramér-Lundberg model with capital injections

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Weak convergence methods and singularly perturbed stochastic control and filtering problems

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Q2703816

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Numerical Methods for Stochastic Singular Control Problems

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Optimal Financing of a Corporation Subject To Random Returns

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Classical and singular stochastic control for the optimal dividend policy when there is regime switching

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Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs

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Asymptotically optimal dividend policy for regime-switching compound Poisson models

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Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit

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Hybrid switching diffusions. Properties and applications

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Identifiers

zbMATH Open document ID

1364.93863

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DOI

10.1016/j.automatica.2013.04.043

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2628665

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+G. George Yin
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+MaRDI publication profile
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+W2069924416
@@ Property / OpenAlex ID: W2069924416 / rank @@
+Normal rank
@@ Property / cites work @@
+Controlled diffusion models for optimal dividend pay-out
+Normal rank
@@ Property / cites work @@
+Optimal investment policy and dividend payment strategy in an insurance company
+Normal rank
@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
+Normal rank
@@ Property / cites work @@
+Some Optimal Dividends Problems
@@ Property / cites work: Some Optimal Dividends Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Optimal Dividends
@@ Property / cites work: Optimal Dividends / rank @@
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
+Normal rank
@@ Property / cites work @@
+Optimal dividend strategies in a Cramér-Lundberg model with capital injections
+Normal rank
@@ Property / cites work @@
+Weak convergence methods and singularly perturbed stochastic control and filtering problems
+Normal rank
@@ Property / cites work @@
+Q2703816
@@ Property / cites work: Q2703816 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Methods for Stochastic Singular Control Problems
+Normal rank
@@ Property / cites work @@
+Optimal Financing of a Corporation Subject To Random Returns
+Normal rank
@@ Property / cites work @@
+Classical and singular stochastic control for the optimal dividend policy when there is regime switching
+Normal rank
@@ Property / cites work @@
+Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
+Normal rank
@@ Property / cites work @@
+Asymptotically optimal dividend policy for regime-switching compound Poisson models
+Normal rank
@@ Property / cites work @@
+Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
+Normal rank
@@ Property / cites work @@
+Hybrid switching diffusions. Properties and applications
+Normal rank