Approximation of optimal ergodic dividend strategies using controlled Markov chains - Jin, Zhuo; Yang, Hailiang; Yin, George (IET control theory & applications, 2018)
Keywords: approximation theory; continuous time systems; controlled Markov chains; discrete time systems; discrete‐time controlled Markov chain; dynamic programming; dynamic programming principle; finite‐time continuous‐time Markov chain; Hamilton–Jacobi–Bellman equations; invariant measure; long‐term average dividend payment; Markov chain approximation techniques; Markov processes; numerical method; optimal control; optimal ergodic dividend payment strategy; optimal ergodic dividend strategies; optimal value; regime switching; regime‐switching model; regime‐switching process subject; Research Article; surplus process; approximation theory; surplus process; regime switching; discrete-time controlled Markov chain; discrete time systems; dynamic programming; optimal control; finite-time continuous-time Markov chain; regime-switching model; Hamilton–Jacobi–Bellman equations; optimal ergodic dividend strategies; optimal ergodic dividend payment strategy; dynamic programming principle; optimal value; numerical method; controlled Markov chains; Markov processes; invariant measure; regime-switching process subject; long-term average dividend payment; Markov chain approximation techniques; continuous time systems