Optimal dividends under a stochastic interest rate

DOI10.1016/j.insmatheco.2015.10.007zbMath1348.91143OpenAlexW2193719001MaRDI QIDQ896771

Julia Eisenberg

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.007

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationinterest rategeometric Brownian motionVasicek modelshort ratedividends

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Controlled diffusion models for optimal dividend pay-out
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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