Optimal dividends in the dual model under transaction costs
From MaRDI portal
Publication:2015482
DOI10.1016/j.insmatheco.2013.11.007zbMath1294.91071arXiv1301.7525MaRDI 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
Related Items
REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL, On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models, On the Parisian ruin of the dual Lévy risk model, General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes, OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS, Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs, Asymptotic analysis for optimal dividends in a dual risk model, A perturbation approach to optimal investment, liability ratio, and dividend strategies, On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models, Stable dividends under linear-quadratic optimisation, Optimality of Two-Parameter Strategies in Stochastic Control, On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy, Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences, On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models, On optimal periodic dividend strategies in the dual model with diffusion, Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs, Optimal dividends and capital injections in the dual model with a random time horizon, On the bail-out optimal dividend problem, On the optimality of periodic barrier strategies for a spectrally positive Lévy process, On the refracted-reflected spectrally negative Lévy processes, A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes, Optimal dividend problem with a terminal value for spectrally positive Lévy processes, Regression Monte Carlo for impulse control, Dividend and capital injection optimization with transaction cost for Lévy risk processes, On the optimality of joint periodic and extraordinary dividend strategies, Optimal dividends with an affine penalty, Optimality of doubly reflected Lévy processes in singular control, Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs, Optimal dividends and capital injections for a spectrally positive Lévy process, Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes, On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes, Inventory Control for Spectrally Positive Lévy Demand Processes, Optimal financing and dividend policy with Markovian switching regimes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- Smoothness of scale functions for spectrally negative Lévy processes
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- Optimal dividends in the dual model
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- On the optimal dividend problem for a spectrally negative Lévy process
- Optimizing venture capital investments in a jump diffusion model
- Introductory lectures on fluctuations of Lévy processes with applications.
- Russian and American put options under exponential phase-type Lévy models.
- Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
- Optimality of an $(s,S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach
- Optimal Dividends in the Dual Model with Diffusion
- ON A FLUCTUATION IDENTITY FOR RANDOM WALKS AND LÉVY PROCESSES
- Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
- ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
- A Change-of-Variable Formula with Local Time on Surfaces
- Applied stochastic control of jump diffusions
