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Optimal dividend payment problems in piecewise-deterministic compound Poisson risk models
2012 IEEE 51st IEEE Conference on Decision and Control (CDC)
Year: 2012 | Conference Paper |
Cited by: Papers (1)
This work deals with an optimal dividend payment problem for a piecewise-deterministic compound Poisson insurance risk model. The objective is to maximize the expected discounted dividend payout up to the time of ruin. When the dividend payment rate is restricted, the value function is shown to be a solution of the corresponding Hamilton-Jacobi-Bellman equation, which in turn leads to a tractable ...Show More
Hybrid switching diffusions: Continuity and differentiability
2011 50th IEEE Conference on Decision and Control and European Control Conference
Year: 2011 | Conference Paper |
This work focuses on hybrid switching diffusion systems. After presenting the basic models, a difficult and fundamental problem, namely, well posedness is addressed. In particular, continuous and smooth dependence on initial data is treated. The main ideas are presented, whereas the verbatim proofs can be found in [35].Show More
Feller continuity, recurrence, and stabilization of regime-switching diffusions
49th IEEE Conference on Decision and Control (CDC)
Year: 2010 | Conference Paper |
This work is based on our results in. Dealing with two-component Markov processes having continuous dynamics and discrete events, we develop asymptotic properties of regime-switching diffusions. First, strong Feller property is established. Next, classifying the underlying processes as recurrence (positive recurrence or null recurrence) or transience, sufficient conditions for such processes are o...Show More
This work provides a survey on some of the recent progress of switching diffusion systems. In recent years, switching diffusion systems have gained much popularity owing to their flexibility in modeling and their nature to conveniently depict the coexistence of continuous dynamics and discrete events. In this paper, we begin with a number of motivating examples to display a variety of applications...Show More
On hybrid diffusions
2008 47th IEEE Conference on Decision and Control
Year: 2008 | Conference Paper |
For the pressing needs in control and optimization using hybrid systems, this work focuses on weak stochastic stability and ergodicity of regime-switching diffusions. Using Liapunov functions, we derive necessary and sufficient conditions for weak stability. Then, ergodicity of weakly stable regime-switching diffusions is obtained by constructing cycles using the associated discrete-time Markov ch...Show More
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