A stochastic control problem with linearly bounded control rates in a Brownian model

DOI10.1137/20M135296XMaRDI QIDQ3382775zbMATH OpenOpenAlexFDO

Authors Jean-François Renaud, Clarence Simard

Publication date 22 September 2021

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.06330

zbMATH Keywords

Brownian motiondividend paymentslinear strategiesOrnstein-Uhlenbeck processstochastic control

Mathematics Subject Classification ID

Diffusion processes (60J60) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

Abstract: Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a Brownian model, we prove the optimality of a member of a new family of control strategies called delayed linear control strategies, for which the controlled process is a refracted diffusion process. For some parameters specifications, we retrieve the strategy initially proposed by Avanzi & Wong (2012) to regularize dividend payments, which is more consistent with actual practice.

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Cites work

• Fluctuations of Lévy processes with applications. Introductory lectures
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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Cited in

(5)

• Exercising control when confronted by a (Brownian) spider
• De Finetti's control problem with a concave bound on the control rate
• A relaxed control problem with \(\mathbb{L}^\infty\) cost and jump dynamics motivated by cyber risks insurance
• Refraction strategies in stochastic control: optimality for a general Lévy process model
• Optimal withdrawals in a diffusion model with state-dependent control rates

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