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
3 Shandong University at Weihai [Weihai]

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

Domaines: Optimisation et contrôle [math.OC]

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, 2019, 9 (799-823). ⟨hal-01961105⟩