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

Journal articles

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

Document type :

Journal articles

Domain :

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

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https://hal-upec-upem.archives-ouvertes.fr/hal-01961105
Contributor : Dan Goreac Connect in order to contact the contributor
Submitted on : Wednesday, December 19, 2018 - 5:00:43 PM
Last modification on : Saturday, January 15, 2022 - 4:13:41 AM

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

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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

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