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

DOI10.1007/S10957-022-02057-4zbMATH Open1494.49019OpenAlexW4283583734MaRDI QIDQ2159454FDOQ2159454

Authors: Wenyuan Wang, Ping Chen, X. Wu, Yuebao 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

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zbMATH Keywords

stochastic controlHamilton-Jacobi-Bellman inequalityde Finetti's optimal dividend problemspectrally negative Lévy process

Mathematics Subject Classification ID

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

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Cited In (7)

• Optimal impulse dividend and capital injection model with proportional and fixed transaction costs
• On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy
• On the moments of dividends and capital injections under a variant type of Parisian ruin
• Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences
• Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
• Optimal dividends and capital injections for a spectrally positive Lévy process
• Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model

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