The dividend problem with a finite horizon

DOI10.1214/17-AAP1286zbMath1390.60305arXiv1609.01655OpenAlexW2964349992WikidataQ59886122 ScholiaQ59886122MaRDI QIDQ1704142

Erik Ekström, Tiziano De Angelis

Publication date: 8 March 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.01655

zbMATH Keywords

optimal stoppingsingular controldividend problem

Mathematics Subject Classification ID

Related Items (15)

Fiscal stimulus as an optimal control problem ⋮ Global \(C^1\) regularity of the value function in optimal stopping problems ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ A change of variable formula with applications to multi-dimensional optimal stopping problems ⋮ Optimal dividend payout under stochastic discounting ⋮ Irreversible reinsurance: a singular control approach ⋮ Optimal stopping for the exponential of a Brownian bridge ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem ⋮ Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps ⋮ On the free boundary of an annuity purchase ⋮ Optimal dividends and capital injection under dividend restrictions ⋮ On a class of non-zero-sum stochastic differential dividend games with regime switching ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ An Optimal Dividend Problem with Capital Injections over a Finite Horizon

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