Dividend optimization for jump-diffusion model with solvency constraints

DOI10.1016/J.ORL.2020.01.006MaRDI QIDQ1984693zbMATH OpenOpenAlexFDO

Authors Yongwu Li, Zuo Quan Xu, Zhongfei Li, Shouyang Wang

Publication date 7 April 2020

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2020.01.006

zbMATH Keywords

jump-diffusionbarrier strategydividend paymentpartial integro-differential equationsolvency constraints

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cited in

(4)

• scientific article; zbMATH DE number 5670877 (Why is no real title available?)
• Research of dynamic asset allocations with dividend payment under jump-diffusion environment
• Numerical methods for dividend optimization using regime-switching jump-diffusion models
• Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps

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