Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls

DOI10.1007/s10957-012-0263-7zbMath1276.49022MaRDI QIDQ382911

Zhuo Jin, G. George Yin

Publication date: 22 November 2013

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/282855

zbMATH Keywords

regime switching; singular control; dynamic programming principle; investment strategy; Markov chain approximation; dividend policy; integro-differential quasi-variational inequalities

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

49J40: Variational inequalities

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

60J60: Diffusion processes

91G80: Financial applications of other theories