Classical and singular stochastic control for the optimal dividend policy when there is regime switching
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Publication:2276241
DOI10.1016/J.INSMATHECO.2011.01.002zbMATH Open1218.91096OpenAlexW1983819214MaRDI QIDQ2276241FDOQ2276241
Authors: Luz R. Sotomayor, Abel Cadenillas 
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.002
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Corporate finance (dividends, real options, etc.) (91G50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
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- Optimization of the flow of dividends
- Optimal risk control for a large corporation in the presence of returns on investments
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- Optimal dividend policy and growth option
- Some results about the expected ruin time in Markov-modulated risk models
Cited In (40)
- Optimal control of debt-to-GDP ratio in an \(N\)-state regime switching economy
- Optimal dividend policy with random interest rates
- Optimal dividends under Markov-modulated bankruptcy level
- Optimal financing and dividend policy with Markovian switching regimes
- On an optimal extraction problem with regime switching
- Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
- Optimal debt ratio and dividend strategies for an insurer under a regime-switching model
- A perturbation approach to optimal investment, liability ratio, and dividend strategies
- On a class of non-zero-sum stochastic differential dividend games with regime switching
- Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
- Numerical methods for optimal harvesting strategies in random environments under partial observations
- Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
- Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates
- Dividend maximization in a hidden Markov switching model
- Optimal dividend strategies with reinsurance under contagious systemic risk
- Equilibrium strategies in a defined benefit pension plan game with regime switching
- Asymptotically optimal dividend policy for regime-switching compound Poisson models
- Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
- Optimal dividend policy when cash surplus follows the telegraph process
- On the optimal dividend strategy in a regime-switching diffusion model
- Optimal dividend strategies with time-inconsistent preferences
- Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
- Optimal stopping and impulse control in the presence of an anticipated regime switch
- Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
- Stochastic control methods for the joint optimization of the risk and dividend policies of a firm
- Optimal dividend distribution under Markov regime switching
- Bayesian dividend optimization and finite time ruin probabilities
- Optimal dividend payment and regime switching in a compound Poisson risk model
- Optimal dividend payout under stochastic discounting
- Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
- Optimal dividend policy and stock prices
- Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
- Optimal threshold dividend strategies under the compound Poisson model with regime switching
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
- Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
- Expected discounted dividends in a discrete semi-Markov risk model
- Dividend optimization for regime-switching general diffusions
- Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
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