A primer of optimal ergodic average control for an insurance company diffusion model
Probability
2025-06-26 v2
Abstract
An ergodic analogue of a well-known diffusion model for risk and dividend distribution of a financial company is considered. In this simple primer it is curious how infinitely many optimal strategies are in accordance with the ergodic Bellman equation.
Keywords
Cite
@article{arxiv.2506.19134,
title = {A primer of optimal ergodic average control for an insurance company diffusion model},
author = {Elizaveta Iashchenko and Alexander Veretennikov},
journal= {arXiv preprint arXiv:2506.19134},
year = {2025}
}
Comments
13 pages, 11 references, in Russian