Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching

DOI10.1137/19M1278156zbMath1455.49025OpenAlexW3119208145MaRDI QIDQ5145602

Jinxia Zhu

Publication date: 21 January 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1278156

zbMATH Keywords

transaction costsimpulse controllinear diffusiondividendlump-sum barrier strategy

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80) Impulsive optimal control problems (49N25)

Cites Work

• Unnamed Item
• Impulse control of proportional reinsurance with constraints
• On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
• Analysis of time series subject to changes in regime
• Optimal payout policy in presence of downside risk
• The Markovian regime-switching risk model with a threshold dividend strategy
• On a comparison theorem for solutions of stochastic differential equations and its applications
• Optimization of risk policy and dividends with fixed transaction costs under interest rate
• Optimal dividend distribution under Markov regime switching
• Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
• Optimal dividend policies with transaction costs for a class of jump-diffusion processes
• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• Optimal impulse and regular control strategies for proportional reinsurance problem
• Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy
• Optimal dividends with debts and nonlinear insurance risk processes
• Dividend optimization for regime-switching general diffusions
• Optimal control problem for an insurance surplus model with debt liability
• Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
• Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
• Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
• DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES
• 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
• Optimal financing and dividend distribution in a general diffusion model with regime switching

This page was built for publication: Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching