A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
Year of publication: |
2019
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Authors: | Avram, Florin ; Goreac, Dan |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2019.2019, 9, p. 799-823
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Subject: | de finetti | dividends | dividends barrier optimization | draw-down process | First passage | optimal harvesting | scale functions | spectrally negative process | variational problem | Theorie | Theory | Dividende | Dividend | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming |
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