Concepedia

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

Xin Guo, Jun Liu, Xun Yu Zhou

Stochastic Processes and their Applications · 2003 · 27 citations · 11 references

DOI

Concepts

References

11

Brownian Motion and Stochastic Flow Systems.

J. F. C. Kingmán, J. Michael Harrison · Journal of the Royal Statistical Society Series D (The Statistician) · 1987 · 1.1K citations

, , +15

Stochastic differential equations with reflecting boundary conditions

Pierre‐Louis Lions, Alain‐Sol Sznitman · Communications on Pure and Applied Mathematics · 1984 · 859 citations

, , +13

Controlled diffusion models for optimal dividend pay-out

Søren Asmussen, Michael Taksar · Insurance Mathematics and Economics · 1997 · 414 citations

, , +11

Optimization of the flow of dividends

Monique Jeanblanc‐Picqué, Albert N. Shiryaev · Russian Mathematical Surveys · 1995 · 334 citations

, , +10

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

S⊘ren Asmussen, Bjarne H�jgaard, Michael Taksar · Finance and Stochastics · 2000 · 262 citations

, , +17