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

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

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 control; barrier strategy; dual model; scale functions; spectrally positive Lévy process; optimal dividend strategy

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

93E20: Optimal stochastic control

91G50: Corporate finance (dividends, real options, etc.)

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