Dividend and capital injection optimization with transaction cost for Lévy risk processes (Q2159454): Difference between revisions

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Property / author: Yue-bao Wang / rank
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Property / full work available at URL: https://doi.org/10.1007/s10957-022-02057-4 / rank
 
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Property / OpenAlex ID: W4283583734 / rank
 
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Latest revision as of 18:19, 29 July 2024

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Dividend and capital injection optimization with transaction cost for Lévy risk processes
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    Dividend and capital injection optimization with transaction cost for Lévy risk processes (English)
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    1 August 2022
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    spectrally negative Lévy process
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    de Finetti's optimal dividend problem
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    stochastic control
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    Hamilton-Jacobi-Bellman inequality
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