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Paper / 2023SMQ / 164151440022020
Optimal ratcheting of dividend payout under Brownian motion surplus
Chonghu Guan / Zuo Quan Xu
brownian motion / optimizationResource overview

Optimal ratcheting of dividend payout under Brownian motion surplus

Paper2023

by Chonghu Guan, Zuo Quan Xu

Tags
brownian motionoptimizationpartial differential equationsstochastic processes

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Suggested foundations for stochastic processes and pricing and optimisation and numerical methods. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  4. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

Go further

  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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Explore Derivatives Pricing and Computational Finance Explore Linear Algebra, Optimisation and Numerical Methods

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