Optimal financing and dividend distribution in a general diffusion model with regime switching

DOI10.1017/apr.2016.7zbMath1343.49032arXiv1506.08360OpenAlexW2963611637MaRDI QIDQ5740695

Hailiang Yang, Jinxia Zhu

Publication date: 27 July 2016

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.08360

zbMATH Keywords

diffusion modelregime-switchingdividend distributionoptimal financing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55)

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