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20122026
most citedOptimal Dividend and Investment Problems under Sparre Andersen Model

1 citations · 2 across the 5 of their papers we have counts for

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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…