Discrete time optimal dividend problem with constant premium and exponentially distributed claims

DOI10.4064/AM41-1-2zbMath1295.90102OpenAlexW2331017210MaRDI QIDQ5169919

Dariusz Socha

Publication date: 16 July 2014

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

Full work available at URL: https://doi.org/10.4064/am41-1-2

zbMATH Keywords

Bellman equationbarrier strategyoptimal dividend problem

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Markov and semi-Markov decision processes (90C40)

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