Optimal dividend problem with a terminal value for spectrally positive Lévy processes

DOI10.1016/j.insmatheco.2013.09.019zbMath1290.91176arXiv1302.6011OpenAlexW2964250568MaRDI QIDQ2015644

Yuzhen Wen, Chuan-Cun Yin

Publication date: 23 June 2014

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

Full work available at URL: https://arxiv.org/abs/1302.6011

zbMATH Keywords

stochastic controlbarrier strategydual modelscale functionsspectrally positive Lévy processoptimal dividend strategy

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

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