Optimal singular dividend problem under the Sparre Andersen model
DOI10.1007/s10957-019-01600-0zbMath1434.49025arXiv1807.08130OpenAlexW2983669033WikidataQ126867383 ScholiaQ126867383MaRDI QIDQ2302759
Linlin Tian, Lihua Bai, Jun-Yi Guo
Publication date: 26 February 2020
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.08130
Hamilton-Jacobi-Bellman equationviscosity subsolutionviscosity supersolutionsingular controloptimal dividendconstrained viscosity solution
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05)
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