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Optimization of capital injections and absolutely continuous dividend payments in a diffusion model
Alexandre Roch / Dante Mata / Hélène Guérin / Jean-François Renaud
optimization / stochastic processesResource overview

Optimization of capital injections and absolutely continuous dividend payments in a diffusion model

Paper2026

by Alexandre Roch, Dante Mata, Hélène Guérin, Jean-François Renaud

Tags
optimizationstochastic 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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