A primer of optimal ergodic average control for an insurance company diffusion model

2025/06/23 by Iashchenko, Elizaveta, Veretennikov, Alexander
#60H10 #93E20 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2506.19134

Abstract

An ergodic analogue of a well-known diffusion model for risk and dividend distribution of a financial company is considered. In this simple primer it is curious how infinitely many optimal strategies are in accordance with the ergodic Bellman equation.

Related

• Ergodic Risk Sensitive Control of Diffusions under a General Structural Hypothesis
• Ergodic Risk-sensitive control -- A survey
• Classical Adjoints for Ergodic Stochastic Control
• Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case
• Ergodic Risk-Sensitive Control for Regime-Switching Diffusions