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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, 3
1 LMAP - Laboratoire de Mathématiques et de leurs Applications [Pau]
2 PS
LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
3 Shandong University at Weihai [Weihai]
Keywords : de Finetti optimal harvesting variational problem scale functions div-idends spectrally negative process draw-down process first passage dividends barrier optimization
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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 : Saturday, May 1, 2021 - 10:41:45 AM

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  • HAL Id : hal-01961105, version 1
  • ARXIV : 1812.08438

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CNRS | INSMI | TDS-MACS | LAMA_PS | LAMA_UMR8050 | UNIV-PAU | LMA-PAU | UPEC-UPEM | UPEC

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Florin Avram, Dan Goreac. A PONTRYAGHIN MAXIMUM PRINCIPLE APPROACH FOR THE OPTIMIZATION OF DIVIDENDS/CONSUMPTION OF SPECTRALLY NEGATIVE MARKOV PROCESSES, UNTIL A GENERALIZED DRAW-DOWN TIME. Scandinavian Actuarial Journal, Taylor & Francis (Routledge), 2019, 9 (799-823). ⟨hal-01961105v1⟩

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