Optimal harvesting when the exchange rate is a semimartingale

DOI10.1155/2011/942478zbMath1239.93131OpenAlexW2010770972WikidataQ58688955 ScholiaQ58688955MaRDI QIDQ413921

E. R. Offen, Edward M. Lungu

Publication date: 8 May 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/942478

zbMATH Keywords

sufficient conditionssemimartingaleBlack-Scholes Quanto marketsingular stochastic control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

Cites Work

• Risk vs. profit potential:
• Controlled diffusion models for optimal dividend pay-out
• Optimal risk and dividend distribution control models for an insurance company
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimization of the flow of dividends
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal harvesting from interacting populations in a stochastic environment
• Optimal risk control for a large corporation in the presence of returns on investments
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