A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
DOI10.1007/s00245-019-09602-0zbMath1468.49027arXiv1804.02547OpenAlexW2969463773WikidataQ127333830 ScholiaQ127333830MaRDI QIDQ2041014
Publication date: 15 July 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.02547
Hamilton-Jacobi-Bellman equationviscosity solutionsconvergence of numerical schemeoptimal switchingmultidimensional compound Poisson processoptimal dividendsmixed singular/switching control problem
Macroeconomic theory (monetary models, models of taxation) (91B64) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Hamilton-Jacobi equations (35F21) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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Cites Work
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