A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
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Publication:4442970
DOI10.1137/S0363012900382667zbMath1084.91047OpenAlexW2077092908MaRDI QIDQ4442970
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Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012900382667
Hamilton-Jacobi-Bellman equationviscosity solutionliabilityoptimal policiesoptimal stochastic controlSkorohod problemoptimal return function
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