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Eurosystem stability : a stochastic dynamic optimization approach to public debt

Maggi, Bernardo - In: Socio-economic planning sciences : the international … 90 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10015071503

Optimal harvesting under marine reserves and uncertain environment

Gaïgi, M'hamed; Ly Vath, Vathana; Scotti, Simone - In: European journal of operational research : EJOR 301 (2022) 3, pp. 1181-1194

Persistent link: https://www.econbiz.de/10013267842

A singular stochastic control approach for optimal pairs trading with proportional transaction costs

Xing, Haipeng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-23

Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs. To find optimal strategies that determine optimally...

Persistent link: https://www.econbiz.de/10013168724

Dividend optimization for regime-switching general diffusions

Zhu, Jinxia; Chen, Fen - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 439-456

Persistent link: https://www.econbiz.de/10010195911

A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time

Avram, Florin; Goreac, Dan - In: Scandinavian actuarial journal 2019 (2019) 9, pp. 799-823

Persistent link: https://www.econbiz.de/10012194999

A hybrid deep learning method for optimal insurance strategies : algorithms and convergence analysis

Jin, Zhuo; Yang, Hailiang; Yin, George G. - In: Insurance / Mathematics & economics 96 (2021), pp. 262-275

Persistent link: https://www.econbiz.de/10012482892

Optimal dividend payout under stochastic discounting

Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; … - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 627-677

Persistent link: https://www.econbiz.de/10013164565

Optimal reinsurance and dividend for a diffusion model with capital injection : variance premium principle

Zhou, Ming; Yuen, Kam Chuen - In: Economic modelling 29 (2012) 2, pp. 198-207

Persistent link: https://www.econbiz.de/10009536037

Optimal dividend strategies of two collaborating businesses in the diffusion approximation model

Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry - In: Mathematics of operations research 43 (2018) 2, pp. 377-398

Persistent link: https://www.econbiz.de/10011868610

Company value with ruin constraint in Lundberg models

Hipp, Christian - In: Risks : open access journal 6 (2018) 3, pp. 1-15

, dividend strategies are considered which are based on barrier sequences. In our continuous state model, optimal barriers can be … computed with the Lagrange method leading to a backward recursion scheme. The resulting dividend strategies will not always be …

Persistent link: https://www.econbiz.de/10011890686