A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme (Q2041014): Difference between revisions

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Latest revision as of 06:01, 26 July 2024

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A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
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    A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme (English)
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    15 July 2021
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    mixed singular/switching control problem
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    multidimensional compound Poisson process
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    optimal dividends
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    optimal switching
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    Hamilton-Jacobi-Bellman equation
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    viscosity solutions
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    convergence of numerical scheme
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