A primer of optimal ergodic average control for an insurance company diffusion model

An ergodic analogue of a well-known diffusion model for risk and dividend distribution of a financial company is considered. In this simple primer it is curious how infinitely many optimal strategies are in accordance with the ergodic Bellman equation.

Publication Details

Journal
ArXiv.org
Published
2025-06-23
Primary Topic
Probability and Risk Models
Type
article
Field-Weighted Citation Impact
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article

A primer of optimal ergodic average control for an insurance company diffusion model

ArXiv.org
Probability and Risk Models
article

A primer of optimal ergodic average control for an insurance company diffusion model

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Abstract

An ergodic analogue of a well-known diffusion model for risk and dividend distribution of a financial company is considered. In this simple primer it is curious how infinitely many optimal strategies are in accordance with the ergodic Bellman equation.

ArXiv.org
Decent work and economic growth
Openalex Percentile: Top 42%
Probability and Risk Models
Open Access PDFOpenAlex
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A primer of optimal ergodic average control for an insurance company diffusion model · ArXiv.org (2025) | TGRS Research Map | TGRS