Dividend and capital injection optimization with transaction cost for Lévy risk processes

DOI10.1007/s10957-022-02057-4zbMath1494.49019OpenAlexW4283583734MaRDI QIDQ2159454

Ping Chen, Xueyuan Wu, Wenyuan Wang, Yue-bao Wang

Publication date: 1 August 2022

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-022-02057-4

zbMATH Keywords

stochastic controlspectrally negative Lévy processHamilton-Jacobi-Bellman inequalityde Finetti's optimal dividend problem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Optimality conditions for problems involving randomness (49K45) Impulsive optimal control problems (49N25) Risk models (general) (91B05)

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Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences, On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy

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