On a dual risk model perturbed by diffusion with dividend threshold

DOI10.1007/s11401-016-0975-3zbMath1351.60109OpenAlexW2508650500MaRDI QIDQ335054

Jiangyan Pu, Hui Zhi

Publication date: 2 November 2016

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11401-016-0975-3

zbMATH Keywords

diffusionWiener processstochastic optimal controlPoisson processLévy processdual risk modelthreshold strategysmooth pasting condition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Existence of optimal solutions to problems involving randomness (49J55)

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