Approximation of optimal ergodic dividend strategies using controlled Markov chains
approximation theorycontinuous time systemscontrolled Markov chainsdiscrete time systemsdiscrete-time controlled Markov chaindynamic programmingdynamic programming principlefinite-time continuous-time Markov chainHamilton-Jacobi-Bellman equationsinvariant measurelong-term average dividend paymentMarkov chain approximation techniquesMarkov processesnumerical methodoptimal controloptimal ergodic dividend payment strategyoptimal ergodic dividend strategiesoptimal valueregime switchingregime-switching modelregime-switching process subjectsurplus process
- A constrained non-linear regular-singular stochastic control problem, with applications.
- A large deviations approach to optimal long term investment
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- Controlled Markov processes and viscosity solutions
- Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
- Dividend optimization for a regime-switching diffusion model with restricted dividend rates
- Dividend optimization for regime-switching general diffusions
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 4061056 (Why is no real title available?)
- Hybrid switching diffusions. Properties and applications
- Numerical methods for dividend optimization using regime-switching jump-diffusion models
- Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls
- Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
- On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
- On the optimal dividend problem for a spectrally negative Lévy process
- On the Optimal Stochastic Impulse Control of Linear Diffusions
- Optimal control problem for an insurance surplus model with debt liability
- Optimal debt ratio and dividend payment strategies with reinsurance
- Optimal dividend and issuance of equity policies in the presence of proportional costs
- Optimal financing and dividend control of the insurance company with proportional reinsurance policy
- Optimal investment policy and dividend payment strategy in an insurance company
- Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model
- Risk-sensitive control and an optimal investment model.
- Risk-Sensitive Control on an Infinite Time Horizon
- Risk-sensitive dynamic asset management
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