Numerical methods for dividend optimization using regime-switching jump-diffusion models
DOI10.3934/MCRF.2011.1.21zbMATH Open1222.93237OpenAlexW2039203746MaRDI QIDQ550528FDOQ550528
Zhuo Jin, George Yin, Hailiang Yang
Publication date: 11 July 2011
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2011.1.21
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- Numerical method for optimal portfolio in an exponential utility regime-switching model
- Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls
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- Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
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