Dividend maximization in a hidden Markov switching model

DOI10.1515/strm-2015-0019zbMath1408.91107arXiv1602.04656OpenAlexW3126137325MaRDI QIDQ293597

Michaela Szölgyenyi

Publication date: 9 June 2016

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.04656

zbMATH Keywords

stochastic optimal controlhidden Markov modelviscosity solutionsdividend maximizationfiltering theory

Mathematics Subject Classification ID

Related Items (4)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks ⋮ Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax ⋮ Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift

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