Optimal dividend and investment problems under Sparre Andersen model (Q1704145)
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scientific article
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| English | Optimal dividend and investment problems under Sparre Andersen model |
scientific article |
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Optimal dividend and investment problems under Sparre Andersen model (English)
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8 March 2018
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optimal dividend problem
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Sparre Andersen model
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backward Markovization
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dynamic programming
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Hamilton-Jacobi-Bellman equation
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constrained viscosity solution
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