Optimal dividends and capital injections in the dual model with a random time horizon

DOI10.1007/s10957-014-0653-0zbMath1341.49021OpenAlexW1997986364MaRDI QIDQ887106

Yongxia Zhao, Ping Chen, Rong-Ming Wang, Ding Jun Yao

Publication date: 28 October 2015

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-014-0653-0

zbMATH Keywords

Lévy processesscale functiondual modeloptimal dividendscapital injectionrandom time horizon

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55)

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