On the bail-out optimal dividend problem

DOI10.1007/s10957-018-1340-3zbMath1402.60055arXiv1709.06348OpenAlexW2805352082MaRDI QIDQ1626508

Y. Aharonov

Publication date: 27 November 2018

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

Full work available at URL: https://arxiv.org/abs/1709.06348

zbMATH Keywords

stochastic controlscale functionsbail-out dividend problemrefracted-reflected Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Variational inequalities (49J40) Optimal stochastic control (93E20)

Related Items (9)

Optimality of multi-refraction control strategies in the dual model ⋮ On the optimality of the refraction-reflection strategies for Lévy processes ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy ⋮ On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy ⋮ Optimality of refraction strategies for a constrained dividend problem ⋮ Optimal singular dividend problem under the Sparre Andersen model ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ Optimal dividend strategy for an insurance group with contagious default risk

Cites Work

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• On Optimal Dividend Strategies In The Compound Poisson Model
• Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
• Precautionary measures for credit risk management in jump models

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