Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections

This work focuses on numerical methods for finding optimal investment, dividend payment, and capital injection policies to maximize the present value of the difference between the cumulative dividend payment and the possible capital injections. The surplus is modeled by a regime-switching jump diffu...

Celý popis

Uloženo v:

Podrobná bibliografie
Vydáno v:	Automatica (Oxford) Ročník 49; číslo 8; s. 2317 - 2329
Hlavní autoři:	Jin, Zhuo, Yang, Hailiang, George Yin, G.
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Kidlington Elsevier Ltd 01.08.2013 Elsevier
Témata:	Applied sciences Approximation Calculus of variations and optimal control Capital injection Control equipment Diffusion Dividend policy Exact sciences and technology Firm modelling Free boundary Inference from stochastic processes; time series analysis Investment strategy Markov chain approximation Markov chains Mathematical analysis Mathematical models Mathematical programming Mathematics Numerical analysis Operational research and scientific management Operational research. Management science Optimization Probability and statistics Sciences and techniques of general use Singular control Statistics Stochastic control Singular control Dividend policy Free boundary Markov chain approximation Investment strategy Stochastic control Capital injection Approximation algorithm Modeling Surplus Private equity Markov chain Variational inequality Diffusion process Jump process Dynamic programming Integrodifferential equation State constraint Dividend Time series Non linear system Exact solution Optimal control regime switching model Discrete time Investment
ISSN:	0005-1098, 1873-2836
On-line přístup:	Získat plný text
Tagy:	Přidat tag Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!

Buďte první, kdo okomentuje tento záznam!