An Optimal Dividend and Investment Control Problem under Debt Constraints.

Etienne Chevalier Vathana Ly Vath Simone Scotti

Published in: SIAM J. Financial Math. (2013)

Keyphrases

optimal control
control system
optimal solution
dynamic programming
optimality criteria
closed form
worst case
short term
control strategy
control problems
constraint satisfaction
control method
constrained optimization
lagrange multipliers
investment strategies
production processes