On a mean reverting dividend strategy with Brownian motion

DOI10.1016/j.insmatheco.2012.04.002zbMath1284.91200MaRDI QIDQ2445337

Benjamin Avanzi, Bernard Wong

Publication date: 14 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.04.002

zbMATH Keywords

Brownian motion; Ornstein-Uhlenbeck process; dividends; mean reverting

Mathematics Subject Classification ID

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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Uses Software

• DLMF

Cites Work

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