A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
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Publication:2041014
DOI10.1007/s00245-019-09602-0zbMath1468.49027arXiv1804.02547MaRDI QIDQ2041014
Publication date: 15 July 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.02547
Hamilton-Jacobi-Bellman equation; viscosity solutions; convergence of numerical scheme; optimal switching; multidimensional compound Poisson process; optimal dividends; mixed singular/switching control problem
91B64: Macroeconomic theory (monetary models, models of taxation)
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
35F21: Hamilton-Jacobi equations
49L12: Hamilton-Jacobi equations in optimal control and differential games