Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
From MaRDI portal
Publication:3320264
DOI10.1137/0322005zbMath0535.93071OpenAlexW1974932729MaRDI QIDQ3320264
John P. Lehoczky, Steven E. Shreve, D. P. jun. Gaver
Publication date: 1984
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0322005
Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Related Items (only showing first 100 items - show all)
On the singular control of exchange rates ⋮ Dividends: from refracting to ratcheting ⋮ Optimality of multi-refraction control strategies in the dual model ⋮ Dividend maximization in a hidden Markov switching model ⋮ Minimisation of penalty payments by investments and reinsurance ⋮ On a class of singular stochastic control problems for reflected diffusions ⋮ Optimal control of capital injections by reinsurance in a diffusion approximation ⋮ Optimal sustainable harvesting of populations in random environments ⋮ Fiscal stimulus as an optimal control problem ⋮ Optimal Consumption Until Ruin for an Endowment Described by an Autonomous ODE for an Infinite Time Horizon ⋮ Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects ⋮ Probabilistic aspects of finite-fuel, reflected follower problems ⋮ A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets ⋮ ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS ⋮ Dynkin Games with Incomplete and Asymmetric Information ⋮ Optimal consumption in a Brownian model with absorption and finite time horizon ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ Barrier present value maximization for a diffusion model of insurance surplus ⋮ Optimal dividend policies for piecewise-deterministic compound Poisson risk models ⋮ Dividend optimization for general diffusions with restricted dividend payment rates ⋮ On capital injections and dividends with tax in a diffusion approximation ⋮ Optimal choice of dividend barriers for a risk process with stochastic return on investments ⋮ Brownian motion approximations for tankage assessment and stock control ⋮ On Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions ⋮ Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ A Class of Solvable Stochastic Investment Problems Involving Singular Controls ⋮ A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations ⋮ Singular dividend optimization for a linear diffusion model with time-inconsistent preferences ⋮ Dynamic risk-sharing game and reinsurance contract design ⋮ An optimal consumption problem in finite time with a constraint on the ruin probability ⋮ Singular control problems in bounded intervals ⋮ On solvability of a two-sided singular control problem ⋮ On optimal control of capital injections by reinsurance and investments ⋮ Optimal dividend policies with transaction costs for a class of jump-diffusion processes ⋮ De Finetti's control problem with competition ⋮ Optimal dividends under a stochastic interest rate ⋮ Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs ⋮ On the smoothness of value functions and the existence of optimal strategies in diffusion models ⋮ Expected Supremum Representation of the Value of a Singular Stochastic Control Problem ⋮ Equivalent models for finite-fuel stochastic control ⋮ Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs ⋮ On optimality of the barrier strategy for a general Lévy risk process ⋮ The dividend problem with a finite horizon ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ Optimality of the threshold dividend strategy for the compound Poisson model ⋮ Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process ⋮ Optimising dividends and consumption under an exponential CIR as a discount factor ⋮ Optimal dividends and capital injection under dividend restrictions ⋮ Optimal dividend and investing control of an insurance company with higher solvency constraints ⋮ A mixed singular/switching control problem for a dividend policy with reversible technology investment ⋮ On barrier strategy dividends with Parisian implementation delay for classical surplus processes ⋮ De Finetti's optimal dividends problem with an affine penalty function at ruin ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ SHAREHOLDER RISK MEASURES ⋮ Optimal dividend strategies for a risk process under force of interest ⋮ Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty ⋮ Finite-time dividend-ruin models ⋮ Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate ⋮ On a class of non-zero-sum stochastic differential dividend games with regime switching ⋮ A singular control model with application to the goodwill problem ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest ⋮ Maximizing a robust goal-reaching probability with penalization on ambiguity ⋮ Optimal dividend payments in the stochastic Ramsey model ⋮ Optimizing venture capital investments in a jump diffusion model ⋮ Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints ⋮ An application of reflected diffusions to the problem of choosing between hydro and thermal power generation ⋮ Stochastic optimal control of risk processes with Lipschitz payoff functions ⋮ Optimal dividend strategies in a Cramér-Lundberg model with capital injections ⋮ Irreversible capital accumulation with economic impact ⋮ Storage model with discontinuous holding cost ⋮ Stochastic differential reinsurance games with capital injections ⋮ General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes ⋮ Dividends with tax and capital injection in a spectrally negative Lévy risk model ⋮ Optimal expected exponential utility of dividend payments in a Brownian risk model ⋮ A singular control problem with an expected and a pathwise ergodic performance criterion ⋮ Dividend maximization under consideration of the time value of ruin ⋮ Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach ⋮ Dividend optimization for regime-switching general diffusions ⋮ Optimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission ⋮ An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density ⋮ Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy ⋮ Connections between optimal stopping and singular stochastic control ⋮ Optimal payout policy in presence of downside risk ⋮ On a dividend problem with random funding ⋮ A free boundary problem related to singular stochastic control: the parabolic case ⋮ Optimal dividends in the Brownian motion risk model with interest ⋮ Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest ⋮ Bayesian Dividend Optimization and Finite Time Ruin Probabilities ⋮ Filtering of absorbing and reflecting Brownian motions ⋮ Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model ⋮ The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure ⋮ Absolutely continuous and singular stochastic control† ⋮ “On the Merger of Two Companies,” Hans Gerber and Elias S. W. Shiu, July 2006 ⋮ Optimal control with restrictions for a diffusion risk model under constant interest force ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function ⋮ Strategies for Dividend Distribution: A Review
This page was built for publication: Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
