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A constrained non-linear regular-singular stochastic control problem, with applications
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this work references cited by second hop

References

  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1997Controlled diffusion models for optimal dividend pay-out396 cited
  • 1995Optimization of the flow of dividends320 cited
  • 2000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation252 cited
  • 1996Risk vs. profit potential: A model for corporate strategy231 cited
  • 2003A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control124 cited
  • 1998Optimal risk and dividend control for a company with a debt liability103 cited
  • 2001Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction60 cited

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