Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation

DOI10.1016/j.automatica.2012.05.039zbMath1267.93184arXiv1111.2584OpenAlexW2015115811MaRDI QIDQ2391436

Zhuo Jin, Chao Zhu, G. George Yin

Publication date: 31 July 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.2584

zbMATH Keywords

numerical methodregime switchingsingular controlreinsuranceMarkov chain approximationdividend policy

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Portfolio theory (91G10)

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