A numerical approach to optimal dividend policies with capital injections and transaction costs

DOI10.1007/S10255-017-0653-6MaRDI QIDQ523786zbMATH OpenOpenAlexFDO

Authors Zhuo Jin, Hailiang Yang, G. Yin

Publication date 21 April 2017

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10722/245301

zbMATH Keywords

controlfree boundarysingular controlMarkov chain approximationdividend policycapital injection

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Optimal stochastic control (93E20)

Recommendations

• Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls
• An optimal dividend policy with delayed capital injections
• Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs

Cites work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• Controlled Markov processes and viscosity solutions
• Controlled diffusion models for optimal dividend pay-out
• Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
• Numerical Methods for Stochastic Singular Control Problems
• Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
• On optimal harvesting problems in random environments
• On the continuity of stochastic exit time control problems
• Optimal Dividends
• Optimal Financing of a Corporation Subject To Random Returns
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Optimal financing and dividend strategies in a dual model with proportional costs
• Some Optimal Dividends Problems

Cited in

(5)

• Optimal impulse dividend and capital injection model with proportional and fixed transaction costs
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• An optimal dividend policy with delayed capital injections
• Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
• Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls

This page was built for publication: A numerical approach to optimal dividend policies with capital injections and transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q523786)