On a mean reverting dividend strategy with Brownian motion
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Publication:2445337
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- Controlled diffusion models for optimal dividend pay-out
- Double barrier hitting time distributions with applications to exotic options
- Games of Economic Survival with Discrete- and Continuous-Income Processes
- Martingales and insurance risk
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Cited in
(15)- On the surplus management of funds with assets and liabilities in presence of solvency requirements
- The optimal dividend payout model with terminal values and its application
- Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy
- Discrete dividend payments in continuous time
- Optimal Dividends
- A perturbation approach to optimal investment, liability ratio, and dividend strategies
- A stochastic control problem with linearly bounded control rates in a Brownian model
- Stable dividends under linear-quadratic optimisation
- Dividends: from refracting to ratcheting
- De Finetti's control problem with a concave bound on the control rate
- ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS
- Stochastic optimal control on impulse dividend model with stochastic returns
- Risk theory with affine dividend payment strategies
- Stochastic optimal control on dividend policies with bankruptcy
- Diffusion approximations for insurance risk processes
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