Optimal financing and dividend control in the dual model

DOI10.1016/J.MCM.2011.01.019zbMATH Open1219.91158OpenAlexW2076441178MaRDI QIDQ636479FDOQ636479

Authors: Hongshuai Dai, Zaiming Liu 

Publication date: 28 August 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.01.019

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationdual modeloptimal dividend controloptimal financing control

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

• Controlled Markov processes and viscosity solutions
• Applied stochastic control of jump diffusions
• Optimal dividends in the dual model
• Optimizing venture capital investments in a jump diffusion model
• Optimal Financing of a Corporation Subject To Random Returns
• Optimal risk and dividend distribution control models for an insurance company
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Title not available (Why is that?)
• Reflexion discontinue et systèmes stochastiques
• Instantaneous Control of Brownian Motion
• Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
• Optimal financing and dividend control of the insurance company with proportional reinsurance policy

Cited In (11)

• Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
• Optimal dividend problem with a terminal value for spectrally positive Lévy processes
• Optimal financing and dividend policy with Markovian switching regimes
• Optimal financing and dividend strategies in a dual model with proportional costs
• Interplay between dividend rate and business constraints for a financial corporation
• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
• Dynamic results of financial leverage clienteles
• Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates
• Optimal asset control of the dual model with a penalty at ruin
• Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
• A model of optimal financing decisions in a stochastic framework

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