Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching (Q5145602)

scientific article; zbMATH DE number 7299443

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English	Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching	scientific article; zbMATH DE number 7299443

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instance of

scholarly article

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title

Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching (English)

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zbMATH Open document ID

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SIAM Journal on Control and Optimization

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publication date

21 January 2021

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Mathematics Subject Classification ID

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dividend

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impulse control

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linear diffusion

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lump-sum barrier strategy

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transaction costs

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MaRDI profile type

MaRDI publication profile

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cites work

Optimal payout policy in presence of downside risk

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Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes

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Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints

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Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes

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On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs

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AMERICAN OPTIONS WITH REGIME SWITCHING

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CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM

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OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR

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Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy

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Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs

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Closed-Form Solutions for Perpetual American Put Options with Regime Switching

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Analysis of time series subject to changes in regime

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Optimal dividend policies with transaction costs for a class of jump-diffusion processes

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Optimal dividend distribution under Markov regime switching

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Q4716216

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The Markovian regime-switching risk model with a threshold dividend strategy

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Impulse control of proportional reinsurance with constraints

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Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance

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Optimal dividends with debts and nonlinear insurance risk processes

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Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs

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Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs

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Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers

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EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

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Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs

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Optimal control problem for an insurance surplus model with debt liability

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On a comparison theorem for solutions of stochastic differential equations and its applications

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Optimal impulse and regular control strategies for proportional reinsurance problem

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Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle

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Optimization of risk policy and dividends with fixed transaction costs under interest rate

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DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES

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Dividend optimization for regime-switching general diffusions

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Optimal financing and dividend distribution in a general diffusion model with regime switching

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full work available at URL

https://doi.org/10.1137/19m1278156

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OpenAlex ID

W3119208145

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Sitelinks

Mathematics(1 entry)

mardi Publication:5145602