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arXiv · 2506.19134

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

Elizaveta Iashchenko·Alexander Veretennikov
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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.

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Elizaveta Iashchenko, Alexander Veretennikov. 2025-06-23. A primer of optimal ergodic average control for an insurance company diffusion model. https://arxiv.org/abs/2506.19134

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