Optimal dividends under Markov-modulated bankruptcy level
Year of publication: |
2022
|
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Authors: | Ferrari, Giorgio ; Schuhmann, Patrick ; Zhu, Shihao |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 106.2022, p. 146-172
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Subject: | Optimal dividend policy | Regime-switching | Regime-dependent bankruptcy levels | HJB equation | Singular stochastic control | Insolvenz | Insolvency | Dividende | Dividend | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory |
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