Open AccessOptimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
Author(s) -
Lin Xu,
Dingjun Yao,
Gongpin Cheng
Publication year - 2020
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2018154
Subject(s) - hamilton–jacobi–bellman equation , viscosity solution , bellman equation , markov chain , dividend , dynamic programming , dividend policy , stochastic control , mathematical optimization , economics , markov process , optimal control , mathematical economics , mathematics , computer science , finance , statistics