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A constrained non-linear regular-singular stochastic control problem, with applications · Study

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ArticleA constrained non-linear regular-singular stochastic control problem, with applications

Xin Guo2003

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Articlebronze2003

A constrained non-linear regular-singular stochastic control problem, with applications

Xin Guo · Jun Liu · Xun Yu Zhou

27 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Optimization and Variational Analysis Adaptive Dynamic Programming Control

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References

1987Brownian Motion and Stochastic Flow Systems.1984Stochastic differential equations with reflecting boundary conditions 1997Controlled diffusion models for optimal dividend pay-out 1995Optimization of the flow of dividends 2000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation 1996Risk vs. profit potential: A model for corporate strategy 2003A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control 1998Optimal risk and dividend control for a company with a debt liability

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Year2003

Typearticle

Published2003-11-15

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations27

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2003.09.008

openalex_workW2018824293

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