Optimality of refraction strategies for a constrained dividend problem

DOI10.1017/apr.2019.32zbMath1427.60082arXiv1803.08492OpenAlexW2971922031WikidataQ127322655 ScholiaQ127322655MaRDI QIDQ5203951

Kazutoshi Yamazaki, Mauricio Junca, Harold A. Moreno-Franco, José Luis Pérez Garmendia

Publication date: 9 December 2019

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.08492

zbMATH Keywords

optimal control scale function dividend payment spectrally one-sided Lévy process refracted Lévy process ruin time constraint

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Risk models (general) (91B05)

Related Items (1)

Time-inconsistent view on a dividend problem with penalty

Cites Work

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