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

Document type :

Journal articles

Domain :

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

Complete list of metadata

Cited literature [33 references] Display Hide Download

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 : Thursday, October 21, 2021 - 5:31:46 AM

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

132

257

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

132

257