Stochastic optimization algorithms for barrier dividend strategies

DOI10.1016/J.CAM.2008.01.007zbMath1152.91559OpenAlexW2073874379MaRDI QIDQ953387

Hailiang Yang, G. George Yin, Qingshuo Song

Publication date: 20 November 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.01.007

zbMATH Keywords

stochastic approximationbarrier strategydividend optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Stochastic models in economics (91B70) Stochastic approximation (62L20)

Related Items (1)

Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• Optimal dividend payouts for diffusions with solvency constraints
• Maximizing Dividends without Bankruptcy
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Discrete-Time Markov Chains
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Optimal Dividends
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method
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