Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model

DOI10.1137/130921726zbMath1372.91052OpenAlexW1841955215MaRDI QIDQ3451765

Pablo Azcue, Nora Muler

Publication date: 18 November 2015

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

Full work available at URL: https://doi.org/10.1137/130921726

zbMATH Keywords

Hamilton-Jacobi-Bellman equationobstacle problemviscosity solutionscompound Poisson processoptimal switchingoptimal dividendsmultiple regimesmixed singular/switching control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (9)

Dividend maximization in a hidden Markov switching model ⋮ On a mixed singular/switching control problem with multiple regimes ⋮ Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk ⋮ A note on optimal expected utility of dividend payments with proportional reinsurance ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ Optimal strategies in a production inventory control model ⋮ On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes ⋮ Optimal Ratcheting of Dividends in Insurance ⋮ A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme

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