Dividend and Capital Injection Optimization with Transaction Cost for Spectrally Negative L\'{e}vy Risk Processes

arXiv1807.11171MaRDI QIDQ6304804

Wenyuan Wang, Xueyuan Wu, Yue-bao Wang

Publication date: 30 July 2018

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20)