3 papers
math.OC2026
When are dividend barriers optimal? A distributional characterization in renewal risk models
Linyu Miao
We study the finite-horizon optimal dividend problem in a renewal risk model with unrestricted dividend payments, examining how claim-size distributions determine barrier optimalit…
math.AP2026
Global Sobolev Convergence of Howard Iteration for Finite-Horizon Controlled Diffusions
Lihua Bai, Linyu Miao
We study Howard policy iteration for finite-horizon stochastic control problems in which the control enters the diffusion coefficient. Each iteration selects a policy by maximizing…
math.OC2026
Classical Solutions for a Finite-Horizon Exit-Time Problem with Degenerate Diffusion Control
Lihua Bai, Linyu Miao
We study finite-horizon exit-time control of a one-dimensional affine diffusion, with an unbounded control acting on both drift and volatility. Since an admissible control can canc…