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Optimal Dividend Payout with Path-dependent Drawdown Constraint
Chonghu Guan
, Jiacheng Fan
,
Zuo Quan Xu
Department of Applied Mathematics
The Hong Kong Polytechnic University
Research output
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Journal article publication
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Journal article
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Academic research
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peer-review
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Dive into the research topics of 'Optimal Dividend Payout with Path-dependent Drawdown Constraint'. Together they form a unique fingerprint.
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Keyphrases
Free Boundary
100%
Path Dependence
100%
Dividend Payout
100%
Drawdown Constraint
100%
Optimal Dividends
100%
Variational Inequality
50%
Numerical Examples
50%
Two Dimensional
50%
Value Function
50%
Solution Technique
50%
Hamilton-Jacobi-Bellman Equation
50%
Optimal Feedback Control
50%
Viscosity Solutions
50%
Feedback Control Strategy
50%
Stochastic Control Problem
50%
Strongly Regular
50%
PDE Method
50%
Pay Rates
50%
Running Maximum
50%
Gradient Constraint
50%
Surplus Process
50%
Fixed Proportions
50%
Admissible Control
50%
Financial Insights
50%
Brownian Motion Model
50%
Maximum Surplus
50%
Strong Solutions
50%
Mathematics
Control Problems
100%
PDE
100%
Bellman Equation
100%
Key Property
100%
Optimal Feedback Control
100%
Viscosity Solution
100%
Variational Inequality
100%
Strong Solution
100%
Surplus Process
100%
Stochastics
100%
Boundedness
100%
Numerical Example
100%
Past Value
100%
Brownian Motion Model
100%
Computer Science
Stochastic Control
100%
Brownian Motion
100%
Numerical Example
100%
Motion Model
100%
Feedback Control
100%
Partial Differential Equation
100%