Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
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Publication:5410806
DOI10.1080/17442508.2013.795674zbMath1284.93265OpenAlexW2014838013MaRDI QIDQ5410806
Luz R. Sotomayor, Abel Cadenillas
Publication date: 17 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2013.795674
Stochastic models in economics (91B70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (6)
Optimal insurance risk control with multiple reinsurers ⋮ Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model ⋮ Optimal stopping and impulse control in the presence of an anticipated regime switch ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Stochastic impulse control with regime-switching dynamics ⋮ Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems
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- Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
- Optimization of the flow of dividends
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
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