General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes (Q4684956)

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scientific article; zbMATH DE number 6943653
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General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
scientific article; zbMATH DE number 6943653

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    General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes (English)
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    26 September 2018
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    spectrally negative Lévy process
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    drawdown time
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    de Finetti's optimal dividend problem
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    stochastic control
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    HJB inequality
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