Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls (Q382911): Difference between revisions
From MaRDI portal
Latest revision as of 02:55, 7 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls |
scientific article |
Statements
Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls (English)
0 references
22 November 2013
0 references
singular control
0 references
dividend policy
0 references
investment strategy
0 references
dynamic programming principle
0 references
integro-differential quasi-variational inequalities
0 references
Markov chain approximation
0 references
regime switching
0 references
0 references
0 references
0 references
