A Stochastic Control Problem with Linearly Bounded Control Rates in a Brownian Model

DOI10.1137/20M135296XzbMath1470.91232arXiv2007.06330OpenAlexW3197805213MaRDI QIDQ3382775

Clarence Simard, Jean-François Renaud

Publication date: 22 September 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.06330

zbMATH Keywords

Brownian motionstochastic controlOrnstein-Uhlenbeck processdividend paymentslinear strategies

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Actuarial mathematics (91G05)

Cites Work

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• Optimization of the flow of dividends
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Optimal Dividends

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