Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model (Q3451765)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model |
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Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model (English)
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18 November 2015
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mixed singular/switching control problem
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compound Poisson process
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multiple regimes
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optimal dividends
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optimal switching
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obstacle problem
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Hamilton-Jacobi-Bellman equation
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viscosity solutions
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