Dividend maximization in a hidden Markov switching model
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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
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
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
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