The dividend problem with a finite horizon
From MaRDI portal
Publication:1704142
DOI10.1214/17-AAP1286zbMath1390.60305arXiv1609.01655OpenAlexW2964349992WikidataQ59886122 ScholiaQ59886122MaRDI QIDQ1704142
Erik Ekström, Tiziano De Angelis
Publication date: 8 March 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.01655
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (15)
Fiscal stimulus as an optimal control problem ⋮ Global \(C^1\) regularity of the value function in optimal stopping problems ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ A change of variable formula with applications to multi-dimensional optimal stopping problems ⋮ Optimal dividend payout under stochastic discounting ⋮ Irreversible reinsurance: a singular control approach ⋮ Optimal stopping for the exponential of a Brownian bridge ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem ⋮ Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps ⋮ On the free boundary of an annuity purchase ⋮ Optimal dividends and capital injection under dividend restrictions ⋮ On a class of non-zero-sum stochastic differential dividend games with regime switching ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ An Optimal Dividend Problem with Capital Injections over a Finite Horizon
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The inverse first-passage problem and optimal stopping
- Optimal consumption in a Brownian model with absorption and finite time horizon
- A probabilistic solution to the Stroock-Williams equation
- Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- An optimal consumption problem in finite time with a constraint on the ruin probability
- Probabilistic aspects of finite-fuel, reflected follower problems
- The Russian option: Reduced regret
- Risk vs. profit potential:
- Connections between optimal stopping and singular stochastic control
- A connection between singular stochastic control and optimal stopping
- Optimal stopping and free boundary characterizations for some Brownian control problems
- Finite expiry Russian options
- The Russian option: finite horizon
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Connections between Singular Control and Optimal Switching
- Average Optimal Singular Control and a Related Stopping Problem
- Probabilistic aspects of finite-fuel stochastic control
- Equivalent models for finite-fuel stochastic control
- Some solvable stochastic control problemst†
- Russian options with a finite time horizon
- Optimization of the flow of dividends
- Strategies for Dividend Distribution: A Review
- Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
- A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
This page was built for publication: The dividend problem with a finite horizon