Optimal dividend payment and regime switching in a compound Poisson risk model (Q3451765)
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scientific article; zbMATH DE number 6510982
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| English | Optimal dividend payment and regime switching in a compound Poisson risk model |
scientific article; zbMATH DE number 6510982 |
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Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model (English)
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18 November 2015
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mixed singular/switching control problem
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compound Poisson process
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multiple regimes
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optimal dividends
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optimal switching
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obstacle problem
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Hamilton-Jacobi-Bellman equation
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viscosity solutions
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0.8624714016914368
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0.8572892546653748
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0.8565204739570618
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0.8502653241157532
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