Dividend maximization in a hidden Markov switching model
From MaRDI portal
Publication:293597
DOI10.1515/strm-2015-0019zbMath1408.91107arXiv1602.04656OpenAlexW3126137325MaRDI QIDQ293597
Publication date: 9 June 2016
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.04656
stochastic optimal controlhidden Markov modelviscosity solutionsdividend maximizationfiltering theory
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Related Items
Bayesian optimal investment and reinsurance with dependent financial and insurance risks, Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient, Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax, Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
Cites Work
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
- Fundamentals of stochastic filtering
- Risk vs. profit potential:
- Controlled diffusion models for optimal dividend pay-out
- A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
- Optimal dividend distribution under Markov regime switching
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Learning about profitability and dynamic cash management
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- Model robustness of finite state nonlinear filtering over the infinite time horizon
- Controlled Markov processes and viscosity solutions
- Dividend optimization for regime-switching general diffusions
- Optimal dividend-payout in random discrete time
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model
- Optimal expected exponential utility of dividend payments in a Brownian risk model
- User’s guide to viscosity solutions of second order partial differential equations
- Optimization of the flow of dividends
- Optimal Investment
- Bayesian Dividend Optimization and Finite Time Ruin Probabilities
- Strategies for Dividend Distribution: A Review
- PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
- Stochastic Optimization in Insurance
- Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
- Portfolio optimization with unobservable Markov-modulated drift process
- Numerical Methods for Stochastic Control Problems in Continuous Time
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
