Numerical methods for dividend optimization using regime-switching jump-diffusion models

DOI10.3934/MCRF.2011.1.21MaRDI QIDQ550528zbMATHOpenAlexFDO

Authors Zhuo Jin, George Yin, Hailiang Yang

Publication date 11 July 2011

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/mcrf.2011.1.21

zbMATH Keywords

regime switchingjump diffusionstochastic controldividend policy

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cited in

(7)

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• Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
• Equilibrium strategies in a defined benefit pension plan game with regime switching
• Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
• Numerical method for optimal portfolio in an exponential utility regime-switching model
• Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
• Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls

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