Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer

Yan Wang, Yanxiang Zhao, Lei Wang, Aimin Song, Yanping Ma

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Pages (from-to)653-671
Number of pages19
JournalJournal of Industrial and Management Optimization
Volume14
Issue number2
DOIs
StatePublished - 2018

ASJC Scopus Subject Areas

  • Business and International Management
  • Strategy and Management
  • Control and Optimization
  • Applied Mathematics

Keywords

  • Dividend
  • Insurance claim process
  • Maximum principle
  • Optimal investment
  • Partial information
  • Regular-singular stochastic control

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