Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model
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Publication:2313748
DOI10.3934/jimo.2018055zbMath1438.91176OpenAlexW2799398825MaRDI QIDQ2313748
Publication date: 23 July 2019
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2018055
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Actuarial mathematics (91G05)
Related Items (2)
Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers
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