A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time
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DOI: 10.1080/03461238.2019.1622592
Abstract: ABSTRACT The first motivation of our paper is to explore further the idea that, in risk control problems, it may be profitable to base decisions both on the position of the underlying process and on… read more here.
Keywords: spectrally negative; negative markov; time; dividends consumption ... See more keywords