A numerical approach to optimal dividend policies with capital injections and transaction costs

DOI10.1007/s10255-017-0653-6zbMath1360.91153OpenAlexW2615650656MaRDI QIDQ523786

Hailiang Yang, Zhuo Jin, G. George Yin

Publication date: 21 April 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/245301

zbMATH Keywords

controlfree boundarysingular controlMarkov chain approximationdividend policycapital injection

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments

Cites Work

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