Optimizing the expected utility of dividend payments for a Cramér–Lundberg risk process

DOI10.4064/AM2333-5-2017zbMath1386.60302arXiv1110.5446OpenAlexW2963906557MaRDI QIDQ4595459

Sebastian Baran, Zbigniew Palmowski

Publication date: 30 November 2017

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.5446

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlutility functiondividend problemcapital injection

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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