Related papers: Optimal Dividend Problem: Asymptotic Analysis

Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a…

We study the asymptotic behaviour near extinction of positive solutions of the Cauchy problem for the fast diffusion equation with a subcritical exponent. We show that separable solutions are stable in some suitable sense by finding a class…

Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…

We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve…

We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the cumulated value of expected discounted dividends, which are…

This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…

Diffusion probabilistic models (DPMs) represent a class of powerful generative models. Despite their success, the inference of DPMs is expensive since it generally needs to iterate over thousands of timesteps. A key problem in the inference…

This paper is devoted to study the optimal portfolio problem. Harry Markowitz's Ph.D. thesis prepared the ground for the mathematical theory of finance. In modern portfolio theory, we typically find asset returns that are modeled by a…

The most common way to sample from a probability distribution is to use Monte-Carlo methods. For distributions on a continuous state space, one can find diffusions with the target distribution as equilibrium measure, so that the state of…

In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…

In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected…

We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…

We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation control problem. This problem will be…

We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk…

We consider de Finetti's optimal dividends problem with absolutely continuous strategies in a spectrally negative L\'evy model with Parisian ruin as the termination time. The problem considered is essentially a generalization of both the…

This is the second part of study on the optimal convergence rate of the explicit Euler discretization in time for the convection-diffusion equations [Appl. Math. Lett. \textbf{131} (2022) 108048] which focuses on high-dimensional…

We consider the bail-out optimal dividend problem under fixed transaction costs for a L\'evy risk model. Furthermore, we consider the version with a constraint expected net present value of injected capital. To characterize the solution to…

This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov…

We consider de Finetti's problem for spectrally one-sided L\'evy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the time of…

The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of…