A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control (Q4442970)

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scientific article; zbMATH DE number 2024249
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A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
scientific article; zbMATH DE number 2024249

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    A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control (English)
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    8 January 2004
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    optimal stochastic control
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    Hamilton-Jacobi-Bellman equation
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    optimal return function
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    liability
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    optimal policies
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    viscosity solution
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    Skorohod problem
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