Optimal impulse and regular control strategies for proportional reinsurance problem

DOI10.1007/BF02936561zbMATH Open1079.60071MaRDI QIDQ2386802FDOQ2386802

Authors: Rui-cheng Yang, Kunhui Liu, Bing Xia 

Publication date: 25 August 2005

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

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zbMATH Keywords

stochastic differential equationstopping timeimpulse controloptimal return function

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60)

Cites Work

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Cited In (14)

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• Optimal harvesting for a population dynamics problem with age-structure and diffusion
• Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
• Optimal impulse and regular control strategies on proportional reinsurance model
• Impulse control of proportional reinsurance with constraints
• Optimal birth control for competition system of three species with age-structure
• Singular optimal control models of a proportional reinsurance problem
• Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
• Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• Optimal dividend problem with a nonlinear regular-singular stochastic control
• Dividend optimization for general diffusions with restricted dividend payment rates
• Dividend optimization for regime-switching general diffusions
• Optimal proportional reinsurance model with transaction costs

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