ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS

DOI10.1017/asb.2014.12zbMath1431.91430arXiv1302.2231OpenAlexW2963632807MaRDI QIDQ5214827

Yuzhen Wen, Yongxia Zhao, Chuan-Cun Yin

Publication date: 5 February 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.2231

zbMATH Keywords

stochastic controldual modelscale functionsthreshold strategyspectrally positive Lévy processoptimal dividend strategy

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Actuarial mathematics (91G05)

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