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
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 49M30 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 49L20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 49J40 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J60 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6232045 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
singular control | |||
| Property / zbMATH Keywords: singular control / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
dividend policy | |||
| Property / zbMATH Keywords: dividend policy / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
investment strategy | |||
| Property / zbMATH Keywords: investment strategy / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
dynamic programming principle | |||
| Property / zbMATH Keywords: dynamic programming principle / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
integro-differential quasi-variational inequalities | |||
| Property / zbMATH Keywords: integro-differential quasi-variational inequalities / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Markov chain approximation | |||
| Property / zbMATH Keywords: Markov chain approximation / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
regime switching | |||
| Property / zbMATH Keywords: regime switching / rank | |||
Normal rank | |||
Revision as of 13:10, 29 June 2023
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
