

























We consider De Finetti's control problem for absolutely continuous strategies with control rates bounded by a concave function and prove that a generalized mean-reverting strategy is optimal. In order to solve this problem, we need to deal with a nonlinear Ornstein-Uhlenbeck process. Despite the level of generality of the bound imposed on the rate, an explicit expression for the value function is obtained up to the evaluation of two functions.This optimal control problem has those with control rates bounded by a constant and a linear function, respectively, as special cases.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。