Numerical Methods for Optimal Dividend Payment and Investment Strategies of Markov-Modulated Jump Diffusion Models with Regular and Singular Controls

Journal of Optimization Theory and Applications ◽

10.1007/s10957-012-0263-7 ◽

2013 ◽

Vol 159 (1) ◽

pp. 246-271 ◽

Author(s):

Zhuo Jin ◽

G. Yin

Keyword(s):

Numerical Methods ◽

Jump Diffusion ◽

Diffusion Models ◽

Investment Strategies ◽

Dividend Payment ◽

Singular Controls ◽

Optimal Dividend ◽

Markov Modulated

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Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections

10.1016/j.automatica.2013.04.043 ◽

2013 ◽

Vol 49 (8) ◽

pp. 2317-2329 ◽

Author(s):

Zhuo Jin ◽

Hailiang Yang ◽

G. George Yin

Keyword(s):

Numerical Methods ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Investment Strategies ◽

Dividend Payment ◽

Optimal Dividend ◽

Capital Injections

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The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2016.04.003 ◽

2016 ◽

Vol 37 ◽

pp. 217-235 ◽

Author(s):

Shih-Kuei Lin ◽

Jin-Lung Peng ◽

Wei-Hsiung Chao ◽

An-Chi Wu

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Jump Frequency ◽

Jump Size ◽

Markov Modulated

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Optimal Investment for the Insurers in Markov-Modulated Jump-Diffusion Models

Computational Economics ◽

10.1007/s10614-014-9454-7 ◽

2014 ◽

Vol 46 (1) ◽

pp. 143-156 ◽

Author(s):

Jinzhi Li ◽

Haiying Liu

Keyword(s):

Optimal Investment ◽

Jump Diffusion ◽

Diffusion Models ◽

Markov Modulated

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Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2013.09.015 ◽

2013 ◽

Vol 53 (3) ◽

pp. 733-746 ◽

Author(s):

Zhuo Jin ◽

G. Yin ◽

Fuke Wu

Keyword(s):

Numerical Methods ◽

Differential Game ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Stochastic Differential Game ◽

Optimal Reinsurance

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Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

European Journal of Operational Research ◽

10.1016/j.ejor.2019.07.066 ◽

2020 ◽

Vol 280 (3) ◽

pp. 1130-1143 ◽

Author(s):

Zhuo Jin ◽

Guo Liu ◽

Hailiang Yang

Keyword(s):

Regime Switching ◽

Liquidity Risk ◽

Jump Diffusion ◽

Diffusion Models ◽

Optimal Consumption ◽

Investment Strategies ◽

Markov Regime Switching ◽

Lifetime Uncertainty ◽

Optimal Consumption And Investment

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Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment

Applied Mathematics and Computation ◽

10.1016/j.amc.2020.125854 ◽

2021 ◽

Vol 395 ◽

pp. 125854

Author(s):

Oscar López ◽

Gerardo Oleaga ◽

Alejandra Sánchez

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Markov Modulated ◽

Convexity Adjustment

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Numerical methods for dividend optimization using regime-switching jump-diffusion models

Mathematical Control & Related Fields ◽

10.3934/mcrf.2011.1.21 ◽

2011 ◽

Vol 1 (1) ◽

pp. 21-40 ◽

Author(s):

Zhuo Jin ◽

◽

George Yin ◽

Hailiang Yang ◽

Keyword(s):

Numerical Methods ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models

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Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump–diffusion model

Nonlinear Analysis Hybrid Systems ◽

10.1016/j.nahs.2017.08.007 ◽

2018 ◽

Vol 27 ◽

pp. 141-156 ◽

Author(s):

Senren Tan ◽

Zhuo Jin ◽

G. Yin

Keyword(s):

Diffusion Model ◽

Regime Switching ◽

Jump Diffusion ◽

Dividend Payment ◽

Optimal Dividend ◽

Jump Diffusion Model ◽

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Implicit-Explicit Method for American Options in Jump-Diffusion Models with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1107646 ◽

2008 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Explicit Method

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Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for

SSRN Electronic Journal ◽

10.2139/ssrn.2022909 ◽

2012 ◽

Author(s):

Paulo Rodrigues ◽

Norman Seeger ◽

Roman Frey

Keyword(s):

Financial Crisis ◽

Jump Diffusion ◽

Diffusion Models ◽

Out Of Sample ◽

Good For ◽

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