Do generalized draw-down times lead to better dividends? A Pontryagin principle-based answer

DOI10.1093/imamci/dnaa036zbMath1474.91147OpenAlexW3111952250MaRDI QIDQ5162737

Florin Avram, Dan Goreac

Publication date: 5 November 2021

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://hal-upec-upem.archives-ouvertes.fr/hal-03013802/file/AvramGoreac_HAL.pdf

zbMATH Keywords

maximum principlestochastic controldividendsstochastic jump processdraw-down

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

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