Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls (Q382911)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls |
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Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls (English)
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22 November 2013
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singular control
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dividend policy
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investment strategy
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dynamic programming principle
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integro-differential quasi-variational inequalities
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Markov chain approximation
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regime switching
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