Optimal Investment and Dividend Strategy under Renewal Risk Model
DOI10.1137/20M1317724zbMath1484.91369OpenAlexW4205156640MaRDI QIDQ5020735
Publication date: 7 January 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/20m1317724
Hamilton-Jacobi-Bellman equationviscosity solutionoptimal dividend controlSparre Andersen modelKrylov estimate
Optimal stochastic control (93E20) PDEs with randomness, stochastic partial differential equations (35R60) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05)
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