Stochastic optimal control on impulse dividend model with stochastic returns

DOI10.1080/02331934.2020.1782907zbMath1479.90125OpenAlexW3038128040MaRDI QIDQ5015991

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Publication date: 10 December 2021

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2020.1782907

zbMATH Keywords

stochastic optimal controlquasi-variational inequalitiesstochastic returnsimpulse dividend model

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Cites Work

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• On a mean reverting dividend strategy with Brownian motion
• Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
• OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
• General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation
• Optimal proportional reinsurance policies for diffusion models
• Optimal dividend policies with random profitability
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM

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