Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon

DOI10.1080/03610926.2020.1822407OpenAlexW3090694458MaRDI QIDQ5092703

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Publication date: 22 July 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1822407

zbMATH Keywords

spectrally negative Lévy processtime-inconsistent controlextended HJB system of equationsequilibrium dividend strategymixture of exponential discount functions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Cites Work

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