Time-inconsistent view on a dividend problem with penalty

DOI10.1080/03461238.2022.2161411zbMath1521.91320arXiv2109.14373OpenAlexW3202580053MaRDI QIDQ6096077

Stefan Thonhauser, Josef Anton Strini

Publication date: 11 September 2023

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.14373

zbMATH Keywords

ruin theorydividendstime-inconsistent stochastic controlextended Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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