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Article: Numerical methods for dividend optimization using regime-switching jump-diffusion models
Title | Numerical methods for dividend optimization using regime-switching jump-diffusion models |
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Authors | |
Keywords | Jump diffusion Dividend policy Regime switching Stochastic control |
Issue Date | 2011 |
Publisher | American Institute of Mathematical Sciences. The Journal's web site is located at http://aimsciences.org/journals/home.jsp?journalID=23 |
Citation | Mathematical Control and Related Fields, 2011, v. 1 n. 1, p. 21-40 How to Cite? |
Abstract | This work develops numerical methods for finding optimal dividend policies to maximize the expected present value of dividend payout, where the surplus follows a regime-switching jump diffusion model and the switching is represented by a continuous-time Markov chain. To approximate the optimal dividend policies or optimal controls, we use Markov chain approximation techniques to construct a discrete-time controlled Markov chain with two components. Under simple conditions, we prove the convergence of the approximation sequence to the surplus process and the convergence of the approximation to the value function. Several examples are provided to demonstrate the performance of the algorithms |
Persistent Identifier | http://hdl.handle.net/10722/135499 |
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 0.653 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Jin, Z | en_US |
dc.contributor.author | Yin, G | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2011-07-27T01:36:07Z | - |
dc.date.available | 2011-07-27T01:36:07Z | - |
dc.date.issued | 2011 | en_US |
dc.identifier.citation | Mathematical Control and Related Fields, 2011, v. 1 n. 1, p. 21-40 | en_US |
dc.identifier.issn | 2156-8472 | - |
dc.identifier.uri | http://hdl.handle.net/10722/135499 | - |
dc.description.abstract | This work develops numerical methods for finding optimal dividend policies to maximize the expected present value of dividend payout, where the surplus follows a regime-switching jump diffusion model and the switching is represented by a continuous-time Markov chain. To approximate the optimal dividend policies or optimal controls, we use Markov chain approximation techniques to construct a discrete-time controlled Markov chain with two components. Under simple conditions, we prove the convergence of the approximation sequence to the surplus process and the convergence of the approximation to the value function. Several examples are provided to demonstrate the performance of the algorithms | - |
dc.language | eng | en_US |
dc.publisher | American Institute of Mathematical Sciences. The Journal's web site is located at http://aimsciences.org/journals/home.jsp?journalID=23 | en_US |
dc.relation.ispartof | Mathematical Control and Related Fields | en_US |
dc.rights | Mathematical Control and Related Fields. Copyright © American Institute of Mathematical Sciences. | - |
dc.subject | Jump diffusion | - |
dc.subject | Dividend policy | - |
dc.subject | Regime switching | - |
dc.subject | Stochastic control | - |
dc.title | Numerical methods for dividend optimization using regime-switching jump-diffusion models | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.identifier.doi | 10.3934/mcrf.2011.1.21 | - |
dc.identifier.scopus | eid_2-s2.0-84864471150 | - |
dc.identifier.hkuros | 187178 | en_US |
dc.identifier.volume | 1 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 21 | en_US |
dc.identifier.epage | 40 | en_US |
dc.identifier.eissn | 2156-8499 | - |
dc.identifier.isi | WOS:000208738000002 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 2156-8499 | - |