Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching (Q5145602)

scientific article; zbMATH DE number 7299443

Language	Label	Description	Also known as
English	Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching	scientific article; zbMATH DE number 7299443

Statements

instance of

scholarly article

0 references

title

Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching (English)

0 references

author

Jinxia Zhu

0 references

published in

SIAM Journal on Control and Optimization

0 references

publication date

21 January 2021

0 references

zbMATH Keywords

dividend

0 references

impulse control

0 references

linear diffusion

0 references

lump-sum barrier strategy

0 references

transaction costs

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Optimal payout policy in presence of downside risk

0 references

Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes

0 references

Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints

0 references

Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes

0 references

On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs

0 references

AMERICAN OPTIONS WITH REGIME SWITCHING

0 references

CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM

0 references

OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR

0 references

Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy

0 references

Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs

0 references

Closed-Form Solutions for Perpetual American Put Options with Regime Switching

0 references

Analysis of time series subject to changes in regime

0 references

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

0 references

Optimal dividend policies with transaction costs for a class of jump-diffusion processes

0 references

Optimal dividend distribution under Markov regime switching

0 references

Q4716216

0 references

The Markovian regime-switching risk model with a threshold dividend strategy

0 references

Impulse control of proportional reinsurance with constraints

0 references

Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance

0 references

Optimal dividends with debts and nonlinear insurance risk processes

0 references

Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs

0 references

Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs

0 references

Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers

0 references

EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

0 references

Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs

0 references

Optimal control problem for an insurance surplus model with debt liability

0 references

On a comparison theorem for solutions of stochastic differential equations and its applications

0 references

Optimal impulse and regular control strategies for proportional reinsurance problem

0 references

Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle

0 references

Optimization of risk policy and dividends with fixed transaction costs under interest rate

0 references

DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES

0 references

Dividend optimization for regime-switching general diffusions

0 references

Optimal financing and dividend distribution in a general diffusion model with regime switching

0 references

full work available at URL

https://doi.org/10.1137/19m1278156

0 references

Identifiers

zbMATH Open document ID

1455.49025

0 references

DOI

10.1137/19M1278156

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5145602