An Optimal Dividend Problem with Capital Injections over a Finite Horizon

DOI10.1137/18M1184588;zbMath1422.91344arXiv1804.04870MaRDI QIDQ5232239

Patrick Schuhmann, Giorgio Ferrari

Publication date: 30 August 2019

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.04870

zbMATH Keywords

optimal stoppingfree boundarysingular stochastic controlcapital injectionsoptimal dividend problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (9)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ Optimal dividend payout under stochastic discounting ⋮ Long-Run Risk-Sensitive Impulse Control ⋮ An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ On singular control of reflected diffusions ⋮ Irreversible reinsurance: minimization of capital injections in presence of a fixed cost

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