A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme

DOI10.1007/s00245-019-09602-0zbMath1468.49027arXiv1804.02547WikidataQ127333830 ScholiaQ127333830MaRDI QIDQ2041014

Nora Muler, Pablo Azcue

Publication date: 15 July 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.02547

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; viscosity solutions; convergence of numerical scheme; optimal switching; multidimensional compound Poisson process; optimal dividends; mixed singular/switching control problem

Mathematics Subject Classification ID

91B64: Macroeconomic theory (monetary models, models of taxation)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

35F21: Hamilton-Jacobi equations

49L12: Hamilton-Jacobi equations in optimal control and differential games

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Optimal dividend payments for a two-dimensional insurance risk process

Cites Work

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