Optimal dividend and investment problems under Sparre Andersen model (Q1704145)
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scientific article; zbMATH DE number 6848274
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| English | Optimal dividend and investment problems under Sparre Andersen model |
scientific article; zbMATH DE number 6848274 |
Statements
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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0.8961197137832642
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0.8852826952934265
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0.8399166464805603
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0.8182489275932312
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0.8003032207489014
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