Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
SIAM Journal on Control and Optimization
A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
SIAM Journal on Control and Optimization
Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon
Journal of Global Optimization
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
SIAM Journal on Control and Optimization
On Strong Feller, Recurrence, and Weak Stabilization of Regime-Switching Diffusions
SIAM Journal on Control and Optimization
On Optimal Harvesting Problems in Random Environments
SIAM Journal on Control and Optimization
| Hi-index | 22.14 |
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime-switching diffusion, in which the regime-switching mechanism provides the fluctuations of the random environment. The goal is to find an optimal control that minimizes the total cost up to a stochastic exit time. A weaker sufficient condition than that of Fleming and Soner (2006, Section V.2) for the continuity of the value function is obtained. Further, the value function is shown to be a viscosity solution of a Hamilton-Jacobi-Bellman equation.