Stochastic optimization algorithms for barrier dividend strategies

DOI10.1016/J.CAM.2008.01.007MaRDI QIDQ953387zbMATH OpenOpenAlexFDO

Authors Hailiang Yang, G. Yin, Qingshuo Song

Publication date 20 November 2008

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2008.01.007

zbMATH Keywords

stochastic approximationbarrier strategydividend optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic approximation (62L20) Stochastic programming (90C15) Stochastic models in economics (91B70)

Recommendations

• Optimal dividend strategy in a jump-diffusion model with a linear barrier constraint
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• Approximations of the optimal dividends barrier in the classical risk models
• scientific article; zbMATH DE number 6613337
• Optimal dividend strategies in the diffusion model with stochastic return on investments
• Dividend optimization for regime-switching general diffusions
• Optimality of barrier dividend strategy in a jump-diffusion risk model with debit interest
• Optimal dividend strategy under the risk model with stochastic premium

Cites work

• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 1972910 (Why is no real title available?)
• scientific article; zbMATH DE number 3246848 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• A Stochastic Approximation Method
• Controlled diffusion models for optimal dividend pay-out
• Discrete-Time Markov Chains
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Maximizing Dividends without Bankruptcy
• Optimal Dividends
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal dividend payouts for diffusions with solvency constraints
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Stochastic Estimation of the Maximum of a Regression Function

Cited in

(2)

• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process

This page was built for publication: Stochastic optimization algorithms for barrier dividend strategies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q953387)