Numerical methods for dividend optimization using regime-switching jump-diffusion models
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Publication:550528
DOI10.3934/MCRF.2011.1.21zbMath1222.93237OpenAlexW2039203746MaRDI QIDQ550528
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
Monte Carlo methods (65C05) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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