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

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

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

Ornstein-Uhlenbeck process occupation time barrier strategy excursion time optimal dividend policy bankruptcy 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)

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Cites Work

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Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
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THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
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Cited In (5)

Variance swaps under the threshold Ornstein-Uhlenbeck model
The Ornstein-Uhlenbeck-type model with a hybrid dividend strategy
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

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