Stochastic optimization algorithms for barrier dividend strategies

DOI10.1016/J.CAM.2008.01.007zbMATH Open1152.91559OpenAlexW2073874379MaRDI QIDQ953387FDOQ953387

G. Yin, Qingshuo Song, Hailiang Yang

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

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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)

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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

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