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math.OC2026
Reinforcement Learning for Dividend Optimization in Partially Observed Regime-Switching Diffusion Model
Zhongqin Gao, Yan Lv, Jingmin He
This paper studies the optimal dividend problem with a bounded payout rate in a partially observed regime-switching diffusion model, where, in practice, the market regime is unobse…
math.OC2025
Multi-period Asset-liability Management with Reinforcement Learning in a Regime-Switching Market
Zhongqin Gao, Ping Chen, Xun Li +2
This paper explores the mean-variance portfolio selection problem in a multi-period financial market characterized by regime-switching dynamics and uncontrollable liabilities. To a…
math.OC2025
Optimal Dividend Control with Transaction Costs under Exponential Parisian Ruin for a Refracted Levy Risk Model
Zhongqin Gao, Yan Lv, Jingmin He
This paper concerns an optimal impulse control problem associated with a refracted Lévy process, involving the reduction of reserves to a predetermined level whenever they exceed a…