Optimal control of the risk process in a regime-switching environment
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Publication:642895
DOI10.1016/J.AUTOMATICA.2011.03.007zbMATH Open1226.93143arXiv1009.3247OpenAlexW1967617020MaRDI QIDQ642895FDOQ642895
Authors: Chao Zhu 
Publication date: 27 October 2011
Published in: Automatica (Search for Journal in Brave)
Abstract: This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random environment. The goal is to find an optimal control that minimizes the total cost up to a stochastic exit time. A weaker sufficient condition than that of (Fleming and Soner 2006, Section V.2) for the continuity of the value function is obtained. Further, the value function is shown to be a viscosity solution of a Hamilton-Jacobian-Bellman equation.
Full work available at URL: https://arxiv.org/abs/1009.3247
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Cited In (23)
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- Stochastic differential games with controlled regime-switching
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