On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes

DOI10.1214/07-AAP504zbMath1152.60344arXiv0811.1862MaRDI QIDQ957513

Ronnie Loeffen

Publication date: 27 November 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.1862

zbMATH Keywords

stochastic controlLévy processscale functioncomplete monotonicitydividend problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Markov processes (60J99)

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