On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy
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Publication:6183320
DOI10.1007/s00245-023-10079-1zbMath1530.91605arXiv2108.01800OpenAlexW3188120685MaRDI QIDQ6183320
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Publication date: 4 January 2024
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.01800
barrier strategyscale functionsspectrally negative Lévy processChapter 11 bankruptcyDe Finetti's optimal dividendParisian ruin with exponential delay
Processes with independent increments; Lévy processes (60G51) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Actuarial mathematics (91G05)
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