Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
From MaRDI portal
(Redirected from Publication:5145602)
Recommendations
- On the Optimal Stochastic Impulse Control of Linear Diffusions
- scientific article; zbMATH DE number 2154438
- Optimal impulse control problems for degenerate diffusions with jumps
- Inverse optimal control of regime-switching jump diffusions
- Stochastic impulse control with regime-switching dynamics
- Impulse control of multidimensional jump diffusions in finite time horizon
- scientific article; zbMATH DE number 18096
- On the impulse control of jump diffusions
- Impulse control of multidimensional jump diffusions
Cites work
- scientific article; zbMATH DE number 947827 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Analysis of time series subject to changes in regime
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Dividend optimization for a regime-switching diffusion model with restricted dividend rates
- Dividend optimization for regime-switching general diffusions
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Impulse control of proportional reinsurance with constraints
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- On a comparison theorem for solutions of stochastic differential equations and its applications
- On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
- Optimal control problem for an insurance surplus model with debt liability
- Optimal dividend distribution under Markov regime switching
- Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
- Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
- Optimal dividend policies with transaction costs for a class of diffusion processes
- Optimal dividend policies with transaction costs for a class of jump-diffusion processes
- Optimal dividends with debts and nonlinear insurance risk processes
- Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
- Optimal financing and dividend distribution in a general diffusion model with regime switching
- Optimal impulse and regular control strategies for proportional reinsurance problem
- Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
- Optimal mixed impulse-equity insurance control problem with reinsurance
- Optimal payout policy in presence of downside risk
- Optimization of risk policy and dividends with fixed transaction costs under interest rate
- Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
- The Markovian regime-switching risk model with a threshold dividend strategy
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
Cited in
(6)- Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
- On the Optimal Stochastic Impulse Control of Linear Diffusions
- How might model uncertainty and transaction costs impact retained earning \& dividend strategies? An examination through a classical insurance risk model
- Optimal dividend and proportional reinsurance strategy for the risk model with common shock dependence
- Optimal dividend policy for a jump-diffusion process with Markov switching
- Hybrid optimal impulse control
This page was built for publication: Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5145602)
