Optimal control of a big financial company with debt liability under bankrupt probability constraints
From MaRDI portal
Publication:1946948
DOI10.1007/s11464-011-0120-2zbMath1263.91025arXiv1007.5376MaRDI QIDQ1946948
Publication date: 10 April 2013
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.5376
stochastic differential equations with reflection; optimal dividend barrier; bankrupt probability constraints; debt liability; dividend payout process; regular-singular stochastic optimal control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65K10: Numerical optimization and variational techniques
93E20: Optimal stochastic control
60H05: Stochastic integrals
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