Optimal dividends in the dual model under transaction costs

DOI10.1016/j.insmatheco.2013.11.007zbMath1294.91071arXiv1301.7525OpenAlexW2069651886MaRDI QIDQ2015482

Kazutoshi Yamazaki, Andreas E. Kyprianou, Erhan Bayraktar

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.7525

zbMATH Keywords

impulse controldual modelscale functionsdividendsspectrally positive Lévy processes

Mathematics Subject Classification ID

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

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