A primer of optimal ergodic average control for an insurance company diffusion model
A primer of optimal ergodic average control for an insurance company diffusion model
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.
Elizaveta Iashchenko、Alexander Veretennikov
财政、金融
Elizaveta Iashchenko,Alexander Veretennikov.A primer of optimal ergodic average control for an insurance company diffusion model[EB/OL].(2025-06-25)[2025-07-20].https://arxiv.org/abs/2506.19134.点此复制
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