The Wiener process with drift between a linear retaining and an absorbing barrier

DOI10.1016/0771-050X(81)90054-1zbMath0467.60074OpenAlexW2077967705MaRDI QIDQ1155927

Nelson De Pril, Hans U. Gerber, Marc J. Goovaerts

Publication date: 1981

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0771-050x(81)90054-1

zbMATH Keywords

time of absorptiontime-dependent retaining barrier

Mathematics Subject Classification ID

Brownian motion (60J65) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

On a mean reverting dividend strategy with Brownian motion ⋮ Optimal dividend policy ⋮ A process with stochastic claim frequency and a linear dividend barrier ⋮ Strategies for Dividend Distribution: A Review

Cites Work

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• The Random Walk Between a Reflecting and an Absorbing Barrier
• On the probability of ruin in the presence of a linear dividend barrier
• The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas

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