A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme (Q2041014)
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| English | A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme |
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A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme (English)
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15 July 2021
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mixed singular/switching control problem
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multidimensional compound Poisson process
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optimal dividends
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optimal switching
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Hamilton-Jacobi-Bellman equation
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viscosity solutions
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convergence of numerical scheme
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0.8624714016914368
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0.853404700756073
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0.826823890209198
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0.7993436455726624
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