Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs

DOI10.1007/S10957-020-01682-1MaRDI QIDQ2188956zbMATHOpenAlexFDO

Authors Irmina Czarna, Adam Kaszubowski

Publication date 15 June 2020

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

Full work available at URL https://arxiv.org/abs/1907.04162

zbMATH Keywords

Parisian ruinimpulse controldividend problemrefracted Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Abstract: In this paper we investigate an optimal dividend problem with transaction costs, where the surplus process is modelled by a refracted L'evy process and the ruin time is considered with Parisian delay. Presence of the transaction costs implies that one need to consider the impulse control problem as a control strategy in such model. An impulse policy $(c_1,c_2)$, which is to reduce the reserves to some fixed level $c_1$ whenever they are above another level $c_2$ is an important strategy for the impulse control problem. Therefore, we give sufficient conditions under which the above described impulse policy is optimal. Further, we give the new analytical formulas for the Parisian refracted $q$-scale functions in the case of the linear Brownian motion and the Cr'amer-Lundberg process with exponential claims. Using these formulas we show that for these models there exists a unique $(c_1,c_2)$ policy which is optimal for the impulse control problem. Numerical examples are also provided.

Recommendations

• Optimal impulse control problems for degenerate diffusions with jumps
• scientific article; zbMATH DE number 3894967
• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• On the Optimal Stochastic Impulse Control of Linear Diffusions
• Optimal impulse control of a portfolio with a fixed transaction cost
• Control problem for the impulse process under stochastic optimization procedure and Lévy conditions
• A finite horizon optimal stochastic impulse control problem with a decision lag
• An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes
• Optimal control with restrictions for a diffusion risk model under constant interest force
• scientific article; zbMATH DE number 5583470

Cites work

• scientific article; zbMATH DE number 3748150 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• Brownian Excursions and Parisian Barrier Options
• Convexity and smoothness of scale functions and de Finetti's control problem
• Fluctuation theory for level-dependent Lévy risk processes
• From Lévy-type processes to parabolic SPDEs. Edited by Lluís Quer-Sardanyons and Frederic Utzet
• Generalized refracted Lévy process and its application to exit problem
• Growth and Hölder conditions for the sample paths of Feller processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Old and new examples of scale functions for spectrally negative Lévy processes
• On optimal dividend strategies in the compound Poisson model
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• On the optimal dividend problem for a spectrally negative Lévy process
• On the semimartingale nature of Feller processes with killing
• Optimal Dividends
• Optimization of the flow of dividends
• Parisian ruin for a refracted Lévy process
• Parisian ruin probability for spectrally negative Lévy processes
• Parisian ruin probability with a lower ultimate bankrupt barrier
• Refracted Lévy processes
• Ruin probability with Parisian delay for a spectrally negative Lévy risk process
• The theory of scale functions for spectrally negative Lévy processes

Cited in

(3)

• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• Optimal cash management using impulse control
• A refracted Lévy process with delayed dividend pullbacks

This page was built for publication: Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2188956)