A dividend optimization problem with constraint of survival probability in a Markovian environment model

DOI10.1080/03610926.2019.1705981OpenAlexW2997858397MaRDI QIDQ5078564

Senlin Yuan, Ji Yang Tan

Publication date: 23 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1705981

zbMATH Keywords

survival probabilityoptimal control strategyperiodic dividendsnon-linear operator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistics (62-XX) Optimal stochastic control (93E20)

Cites Work

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