A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
Florin Avram and Dan Goreac
| Year of publication: |
2019
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|---|---|
| Authors: | Avram, Florin ; Goreac, Dan |
| Subject: | de finetti | dividends | dividends barrier optimization | draw-down process | First passage | optimal harvesting | scale functions | spectrally negative process | variational problem | Theorie | Theory | Dividende | Dividend | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1622592 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194999