Approximation of optimal ergodic dividend strategies using controlled Markov chains (Q6906682)
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scientific article; zbMATH DE number 8115135
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| English | Approximation of optimal ergodic dividend strategies using controlled Markov chains |
scientific article; zbMATH DE number 8115135 |
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Approximation of optimal ergodic dividend strategies using controlled Markov chains (English)
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4 November 2025
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continuous time systems
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approximation theory
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Markov processes
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dynamic programming
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discrete time systems
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optimal control
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discrete-time controlled Markov chain
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optimal ergodic dividend strategies
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controlled Markov chains
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numerical method
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regime-switching model
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surplus process
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regime-switching process subject
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finite-time continuous-time Markov chain
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dynamic programming principle
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long-term average dividend payment
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Hamilton-Jacobi-Bellman equations
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optimal value
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invariant measure
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regime switching
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optimal ergodic dividend payment strategy
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Markov chain approximation techniques
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