Optimal dividend strategy with transaction costs for an upward jump model
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Publication:5245418
DOI10.1080/14697688.2011.647052zbMath1311.91193OpenAlexW2086841175MaRDI QIDQ5245418
Publication date: 8 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.647052
transaction costsmathematical financeimpulsive controloptimal dividendstochastic jumpsupward jump model
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)
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Dividend and capital injection optimization with transaction cost for Lévy risk processes, OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES, Optimal dividends with an affine penalty
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