Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs

DOI10.1239/aap/1189518633zbMath1126.93058OpenAlexW2047864380MaRDI QIDQ5426464

Jostein Paulsen

Publication date: 12 November 2007

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

Full work available at URL: https://doi.org/10.1239/aap/1189518633

zbMATH Keywords

impulse controldiffusion modeloptimal dividendbarrier strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Existence theories for optimal control problems involving ordinary differential equations (49J15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimality conditions for problems involving ordinary differential equations (49K15)

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