Author

Zuo-Quan Xu

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Preprint Sep 2026

Optimal Reinsurance-Dividend Strategy with Fixed Transaction Costs in a Regime-Switching Brownian Risk Model: A Viscosity Solution to the Impulse Control Problem

We consider a problem of optimal proportional reinsurance-dividend distribution under a Brownian risk model, where both the drift and volatility coefficients are subject to endogenous regime-switching. Dividend payments are subject to fixed transaction costs. The problem is formulated as a two-dimensional stochastic co...

Wen-Yuan Wang, Zuo-Quan Xu, Kai-Xin Yan · 0 citations

Preprint Jul 2026

Model-Free Q-Learning for Infinite-Horizon Stochastic Linear Quadratic Problems with Regime Switching

On-policy and off-policy Q-learning algorithms that learn the optimal controller solely from online state trajectory data are developed, specifically developing on-policy and off-policy Q-learning algorithms that learn the optimal controller solely from online state trajectory data.

Xinyu Zhang, Na Li, Xun Li et al. · 0 citations