Stochastic optimization algorithms for barrier dividend strategies
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Publication:953387
DOI10.1016/J.CAM.2008.01.007zbMath1152.91559OpenAlexW2073874379MaRDI QIDQ953387
Hailiang Yang, G. George 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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Stochastic models in economics (91B70) Stochastic approximation (62L20)
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Cites Work
- Controlled diffusion models for optimal dividend pay-out
- Optimal choice of dividend barriers for a risk process with stochastic return on investments
- Optimal dividend payouts for diffusions with solvency constraints
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- Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
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