Journal article

Approximation of optimal ergodic dividend strategies using controlled Markov chains

Zhuo Jin, Hailiang Yang, George Yin

IET CONTROL THEORY AND APPLICATIONS | INST ENGINEERING TECHNOLOGY-IET | Published : 2018

Abstract

This study develops a numerical method to find optimal ergodic (long-run average) dividend strategies in a regimeswitching model. The surplus process is modelled by a regime-switching process subject to liability constraints. The regimeswitching process is modelled by a finite-time continuous-time Markov chain. Using the dynamic programming principle, the optimal long-term average dividend payment is a solution to the coupled system of Hamilton-Jacobi-Bellman equations. Under suitable conditions, the optimal value of the long-term average dividend payment can be determined by using an invariant measure. However, due to the regime switching, getting the invariant measure is very difficult. Th..

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University of Melbourne Researchers