General drawdown of general tax model in a time-homogeneous Markov framework

DOI10.1017/JPR.2021.22zbMath1475.60076arXiv1810.02079OpenAlexW3216106454MaRDI QIDQ5014313

Shu Li, Florin Avram, Bin Li

Publication date: 1 December 2021

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.02079

zbMATH Keywords

tax processtime-homogeneous Markov processgeneral drawdown

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17) Actuarial mathematics (91G05)

Related Items (5)

Some characterizations for Markov processes at first passage ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ Continuous-state branching processes with collisions: first passage times and duality ⋮ A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time ⋮ Complete monotonicity of time-changed Lévy processes at first passage

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