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Optimal dividend of compound Poisson process under a stochastic interest rate - MaRDI portal

Optimal dividend of compound Poisson process under a stochastic interest rate (Q2244203)

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Optimal dividend of compound Poisson process under a stochastic interest rate
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    Statements

    title
    Optimal dividend of compound Poisson process under a stochastic interest rate (English)
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    author
    Linlin Tian
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    Xiaoyi Zhang
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    Yizhou Bai
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    publication date
    12 November 2021
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    zbMATH Keywords
    Hamilton-Jacobi-Bellman equation
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    Vasicek model
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    geometric Brownian motion
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    interest rate
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    viscosity solution
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    optimal dividends
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    cites work
    Q3150773
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    Q5434181
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    Q4135799
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    Q4255599
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    Identifiers

    DOI
    10.3934/jimo.2019047
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    Mathematics Subject Classification ID
    91G05
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    49L25
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    93E20
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    zbMATH DE Number
    7425050
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    OpenAlex ID
    W2883315910
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    arXiv ID
    1807.08081
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    Wikidata QID
    Q127669519
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