A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme

DOI10.1007/s00245-019-09602-0zbMath1468.49027arXiv1804.02547OpenAlexW2969463773WikidataQ127333830 ScholiaQ127333830MaRDI QIDQ2041014

Nora Muler, Pablo Azcue

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionsconvergence of numerical schemeoptimal switchingmultidimensional compound Poisson processoptimal dividendsmixed singular/switching control problem

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Hamilton-Jacobi equations (35F21) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Related Items (1)

Optimal dividend payments for a two-dimensional insurance risk process

Cites Work

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