Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process

DOI10.1016/J.CAM.2011.06.014zbMATH Open1231.91044OpenAlexW2071929716MaRDI QIDQ645698FDOQ645698

Hoi Ying Wong, Jing Zhao

Publication date: 10 November 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.06.014

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zbMATH Keywords

Ornstein-Uhlenbeck processoccupation timebarrier strategyexcursion timeoptimal dividend policybankruptcy procedures

Mathematics Subject Classification ID

Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17) Communication networks in operations research (90B18) Games involving graphs (91A43)

Cites Work

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Cited In (4)

• Market frictions and corporate finance: an overview paper
• Moment and polynomial bounds for ruin-related quantities in risk theory
• Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates
• Variance swaps under the threshold Ornstein–Uhlenbeck model

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