Optimal control with restrictions for a diffusion risk model under constant interest force

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Cites work

Controlled Markov processes and viscosity solutions
Controlled diffusion models for optimal dividend pay-out
Controlling risk exposure and dividends payout schemes: Insurance company example
Empirical bounds for ruin probabilities
On optimal dividend strategies in the compound Poisson model
On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
On the optimal dividend problem for a spectrally negative Lévy process
Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
Optimal choice of dividend barriers for a risk process with stochastic return on investments
Optimal control with absolutely continuous strategies for spectrally negative Lévy processes
Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
Optimal dividend strategies for a risk process under force of interest
Optimal dividends in the Brownian motion risk model with interest
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
Optimal dynamic reinsurance policies for large insurance portfolios
Optimal investment policy and dividend payment strategy in an insurance company
Optimal risk control for a large corporation in the presence of returns on investments
Optimization of the flow of dividends
Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹

Cited in

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Optimal investment and reinsurance with premium control
Maximization of T-A objective functions for risk models with constant interest force
Optimal dividend and risk control in diffusion models with linear costs
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
A dividend optimization problem with constraint of survival probability in a Markovian environment model
Randomized dividends in a discrete risk model with time-correlated claims
On a discrete Markov-modulated risk model with random premium income and delayed claims
Optimal combined dividend and reinsurance policies under interest rate in Lévy markets
Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
Optimal risk control under functionally restricted perturbation
Optimal investment and premium control in a nonlinear diffusion model

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