Optimal expected exponential utility of dividend payments in a Brownian risk model

DOI10.1080/03461230601165201zbMath1164.62080OpenAlexW1998575560MaRDI QIDQ3608218

Friedrich Hubalek, Peter Grandits, Walter Schachermayer, Mislav Žigo

Publication date: 28 February 2009

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230601165201

zbMATH Keywords

optimal controlBrownian motion with driftfree boundary value problemexponential utilityoptimal dividend payment

Mathematics Subject Classification ID

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