Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
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Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimality conditions for problems involving ordinary differential equations (49K15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cites work
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- Controlled diffusion models for optimal dividend pay-out
- scientific article; zbMATH DE number 3141417 (Why is no real title available?)
- scientific article; zbMATH DE number 947827 (Why is no real title available?)
- Optimal choice of dividend barriers for a risk process with stochastic return on investments
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- Optimal dividend policy and growth option
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- Optimal Dividends
- Optimal expected exponential utility of dividend payments in a Brownian risk model
- Optimal harvesting from a population in a stochastic crowded environment
- Optimization of the flow of dividends
- Stochastic Forest Stand Value and Optimal Timber Harvesting
Cited in
(50)- Maximizing a robust goal-reaching probability with penalization on ambiguity
- 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 jump-diffusion processes
- Dividend optimization for jump-diffusion model with solvency constraints
- The optimal dividend payout model with terminal values and its application
- Optimal dividend policy when cash surplus follows the telegraph process
- Dividend problem with Parisian delay for a spectrally negative Lévy risk process
- Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy
- Optimal dividends with debts and nonlinear insurance risk processes
- Dividend optimization for regime-switching general diffusions
- Optimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission
- Moment and polynomial bounds for ruin-related quantities in risk theory
- De Finetti's control problem with competition
- Equilibrium dividend strategy with non-exponential discounting in a dual model
- Optimal dividend control for a generalized risk model with investment incomes and debit interest
- Impulse stochastic control for the optimization of the dividend payments of the compound Poisson risk model perturbed by diffusion
- scientific article; zbMATH DE number 6492429 (Why is no real title available?)
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
- Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
- OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
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- Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates
- Barrier present value maximization for a diffusion model of insurance surplus
- Dividend optimization for general diffusions with restricted dividend payment rates
- Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty
- Optimal dividend payout for classical risk model with risk constraint
- Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- Stochastic optimal control on impulse dividend model with stochastic returns
- Strategies for dividend distribution: a review
- Moment-constrained optimal dividends: precommitment and consistent planning
- Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
- Brownian inventory models with convex holding cost. I: Average-optimal controls
- Optimal dividend and risk control in diffusion models with linear costs
- Stochastic optimal control on dividend policies with bankruptcy
- Optimal dividend strategy with transaction costs for an upward jump model
- OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
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- A measure approach for continuous inventory models: discounted cost criterion
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- Impulse control of proportional reinsurance with constraints
- Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process
- Optimal dividend-penalty policies for a piecewise-deterministic compound Poisson risk model with transaction costs
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
- Optimal withdrawals in a diffusion model with state-dependent control rates
- Optimal dividend policy for a jump-diffusion process with Markov switching
- Optimal dividend payments under a time of ruin constraint: exponential claims
- A unified treatment of dividend payment problems under fixed cost and implementation delays
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