A primer of optimal ergodic average control for an insurance company diffusion model
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866911021049839616 |
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| author | Iashchenko, Elizaveta Veretennikov, Alexander |
| author_facet | Iashchenko, Elizaveta Veretennikov, Alexander |
| contents | An ergodic analogue of a well-known diffusion model for risk and dividend distribution of a financial company is considered. In this simple primer it is curious how infinitely many optimal strategies are in accordance with the ergodic Bellman equation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_19134 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A primer of optimal ergodic average control for an insurance company diffusion model Iashchenko, Elizaveta Veretennikov, Alexander Probability 93E20, 60H10 An ergodic analogue of a well-known diffusion model for risk and dividend distribution of a financial company is considered. In this simple primer it is curious how infinitely many optimal strategies are in accordance with the ergodic Bellman equation. |
| title | A primer of optimal ergodic average control for an insurance company diffusion model |
| topic | Probability 93E20, 60H10 |
| url | https://arxiv.org/abs/2506.19134 |