Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls

DOI10.1007/s10957-012-0263-7zbMath1276.49022OpenAlexW2052773335MaRDI QIDQ382911

Zhuo Jin, G. George Yin

Publication date: 22 November 2013

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/282855

zbMATH Keywords

regime switchingsingular controldynamic programming principleinvestment strategyMarkov chain approximationdividend policyintegro-differential quasi-variational inequalities

Mathematics Subject Classification ID

Related Items (11)

Equilibrium dividend strategy with non-exponential discounting in a dual model ⋮ Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ A Markov decision problem in a risk model with interest rate and Markovian environment ⋮ A dividend optimization problem with constraint of survival probability in a Markovian environment model ⋮ A survey of numerical solutions for stochastic control problems: some recent progress ⋮ An Optimal Control Problem in a Risk Model with Stochastic Premiums and Periodic Dividend Payments ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ Optimal dividends for regulated insurers with a nonlinear penalty ⋮ Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer ⋮ Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax

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