UNAM

On an optimal control problem with a concave bound

Ponente: Dante Mata
Institución: University of Quebec in Montreal
 Tipo de Evento: Investigación, Formación de Recursos Humanos
Cuándo 05/03/2025
de 13:00 a 14:00
Dónde Salón 13 en el primer piso del Edificio C. IIMAS
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Título: On an optimal control problem with a concave bound

Resumen: We study a version of De Finetti’s optimal dividend problem driven by a diffusion, where the control strategies are assumed to be absolutely continuous strategies which are bounded above by an increasing, concave function.

We provide sufficient conditions to show that an optimal strategy exists and lies within the set of generalized refraction strategies. In addition, we are able to characterize the optimal refraction threshold in our setting.

This is joint work with Hélène Guérin, Jean-François Renaud and Alexandre Roch.