A PONTRYAGHIN MAXIMUM PRINCIPLE APPROACH FOR THE OPTIMIZATION OF DIVIDENDS/CONSUMPTION OF SPECTRALLY NEGATIVE MARKOV PROCESSES, UNTIL A GENERALIZED DRAW-DOWN TIME

Florin Avram; Dan Goreac

Preprints, Working Papers, ...

A PONTRYAGHIN MAXIMUM PRINCIPLE APPROACH FOR THE OPTIMIZATION OF DIVIDENDS/CONSUMPTION OF SPECTRALLY NEGATIVE MARKOV PROCESSES, UNTIL A GENERALIZED DRAW-DOWN TIME

Florin Avram ¹ Dan Goreac ²

1 LMAP - Laboratoire de Mathématiques et de leurs Applications [Pau]

2 PS

LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées

Keywords : de Finetti optimal harvesting variational problem scale functions div-idends spectrally negative process draw-down process first passage dividends barrier optimization

Document type :

Preprints, Working Papers, ...

Domain :

Mathematics [math] / Optimization and Control [math.OC]

Complete list of metadatas

Cited literature [33 references] Display Hide Download

https://hal-upec-upem.archives-ouvertes.fr/hal-01961105
Contributor : Dan Goreac <>
Submitted on : Wednesday, December 19, 2018 - 5:00:43 PM
Last modification on : Friday, January 15, 2021 - 9:23:16 AM

preprint_main.pdf

Files produced by the author(s)

A PONTRYAGHIN MAXIMUM PRINCIPLE APPROACH FOR THE OPTIMIZATION OF DIVIDENDS/CONSUMPTION OF SPECTRALLY NEGATIVE MARKOV PROCESSES, UNTIL A GENERALIZED DRAW-DOWN TIME

Files

Identifiers

Collections

Citation

Export

Metrics

108

213

A PONTRYAGHIN MAXIMUM PRINCIPLE APPROACH FOR THE OPTIMIZATION OF DIVIDENDS/CONSUMPTION OF SPECTRALLY NEGATIVE MARKOV PROCESSES, UNTIL A GENERALIZED DRAW-DOWN TIME

Files

Identifiers

Collections

Citation

Export

Share

Metrics

108

213