Optimal dividend strategies in a dual model with capital injections

DOI10.1007/S00186-010-0312-7zbMath1194.91188OpenAlexW1994066240MaRDI QIDQ5962151

Hongshuai Dai, Zai-Ming Liu, Na Na Luan

Publication date: 21 September 2010

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-010-0312-7

zbMATH Keywords

singular stochastic controlcapital injectionsHamilton-Jacob-Bellman equationjump diffusion processesoptimal dividend

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Stochastic integrals (60H05) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (17)

The Optimal Dividend Problem in the Dual Model ⋮ Duality in ruin problems for ordered risk models ⋮ Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate ⋮ Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model ⋮ Optimal dividends and capital injection under dividend restrictions ⋮ Optimal dividend and equity issuance problem with proportional and fixed transaction costs ⋮ Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates ⋮ Optimal dividend problem with a terminal value for spectrally positive Lévy processes ⋮ On finite-time ruin probabilities in a generalized dual risk model with dependence ⋮ Parisian ruin with a threshold dividend strategy under the dual Lévy risk model ⋮ Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin ⋮ ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS ⋮ Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model ⋮ Precommitted investment strategy versus time-consistent investment strategy for a dual risk model ⋮ Dividend problems with a barrier strategy in the dual risk model until bankruptcy ⋮ Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs ⋮ Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs

Cites Work

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• Reflexion discontinue et systèmes stochastiques
• Optimizing venture capital investments in a jump diffusion model
• Controlled Markov processes and viscosity solutions
• Optimal Financing of a Corporation Subject To Random Returns
• Applied stochastic control of jump diffusions

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