On the optimal dividend problem for a spectrally negative Lévy process

DOI10.1214/105051606000000709zbMath1136.60032arXivmath/0702893OpenAlexW2079068657MaRDI QIDQ2467114

Zbigniew Palmowski, Florin Avram, Martijn R. Pistorius

Publication date: 18 January 2008

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

Full work available at URL: https://arxiv.org/abs/math/0702893

zbMATH Keywords

reflectionlocal timeLévy processscale functionfluctuation theorydividend problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Markov processes (60J99)

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